On first–crossing times of one–dimensional diffusions over two time–dependent boundaries

DOI10.1080/07362990008809663zbMath0989.60073MaRDI QIDQ4949460

Mario Abundo

Publication date: 5 August 2002

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990008809663

zbMATH Keywords

partial differential equations; time-dependent boundaries; moments of the first-crossing times

Mathematics Subject Classification ID

60J60: Diffusion processes

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

Related Items

On the First-Passage Time of a Diffusion Process Over a One-Sided Stochastic Boundary, An inverse first-passage problem for one-dimensional diffusions with random starting point, On the first hitting time of a one-dimensional diffusion and a compound Poisson process, Stability of the overdamped Langevin equation in double-well potential, Some conditional crossing results of Brownian motion over a piecewise-linear boundary, Solving an Inverse First-Passage-Time Problem for Wiener Process Subject to Random Jumps from a Boundary, One-Dimensional Reflected Diffusions with Two Boundaries and an Inverse First-Hitting Problem, Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions

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