HITTING LINES and CIRCLES WITH DIFFUSION PROCESSES

DOI10.1111/J.1467-842X.1996.TB00677.XzbMATH Open0902.60061OpenAlexW2095488598MaRDI QIDQ4354763FDOQ4354763

Authors: Richard Labib, Mario Lefebvre 

Publication date: 17 November 1997

Published in: Australian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-842x.1996.tb00677.x

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zbMATH Keywords

diffusion processfirst passage time

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (3)

• A one-dimensional diffusion hits points fast
• Hitting parabolas and exponential curves with diffusion processes
• First-exit-time problems for two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses

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