First passage times for some classes of fractional time-changed diffusions
From MaRDI portal
Publication:5085217
Recommendations
- Time-changed fractional Ornstein-Uhlenbeck process
- Fokker-Planck-Kolmogorov equations associated with time-changed fractional Brownian motion
- The Fokker-Planck equation for the time-changed fractional Ornstein-Uhlenbeck stochastic process
- A fractional PDE for first passage time of time-changed Brownian motion and its numerical solution
- On time-changed Gaussian processes and their associated Fokker-Planck-Kolmogorov equations
Cites work
- A computational approach to first-passage-time problems for Gauss-Markov processes
- An optimal Gauss-Markov approximation for a process with stochastic drift and applications
- Asymptotics of two-boundary first-exit-time densities for Gauss-Markov processes
- Brownian subordinators and fractional Cauchy problems
- Chance and Stability
- Financial Markets with Memory I: Dynamic Models
- Fractional Ornstein-Uhlenbeck process with stochastic forcing, and its applications
- Fractional Pearson diffusions
- General fractional calculus, evolution equations, and renewal processes
- scientific article; zbMATH DE number 3115404 (Why is no real title available?)
- scientific article; zbMATH DE number 6521379 (Why is no real title available?)
- scientific article; zbMATH DE number 3736754 (Why is no real title available?)
- scientific article; zbMATH DE number 918811 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- scientific article; zbMATH DE number 3381619 (Why is no real title available?)
- scientific article; zbMATH DE number 2208480 (Why is no real title available?)
- Infinite divisibility of random variables and their integer parts
- Introduction to fractional and pseudo-differential equations with singular symbols
- Inverse stable subordinators
- Limit theorems for occupation times of Markov processes
- On a stochastic neuronal model integrating correlated inputs
- On densities of the product, quotient and power of independent subordinators
- On fractional Ornstein-Uhlenbeck processes
- On the exit time from open sets of some semi-Markov processes
- On the function whose Laplace-transform is $e^{-s^{α}}
- On time-changed Gaussian processes and their associated Fokker-Planck-Kolmogorov equations
- Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process1
- Some results about boundary crossing for Brownian motion
- Stochastic models for fractional calculus
- Stochastic representation of subdiffusion processes with time-dependent drift
- Table of integrals, series, and products. Translated from the Russian. Translation edited and with a preface by Alan Jeffrey and Daniel Zwillinger. With one CD-ROM (Windows, Macintosh and UNIX)
- The first passage time problem for Gauss-diffusion processes: algorithmic approaches and applications to LIF neuronal model
- The fundamental solution of the space-time fractional diffusion equation
- Time-changed fractional Ornstein-Uhlenbeck process
- Time-changed Ornstein-Uhlenbeck process
Cited in
(5)- First passage time distribution of a modified fractional diffusion equation in the semi-infinite interval
- A fractional PDE for first passage time of time-changed Brownian motion and its numerical solution
- Time-changed fractional Ornstein-Uhlenbeck process
- Extremes and First Passage Times of Correlated Fractional Brownian Motions
- Probability of ruin within finite time and Cramér-Lundberg inequality for fractional risk processes
This page was built for publication: First passage times for some classes of fractional time-changed diffusions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5085217)