scientific article; zbMATH DE number 5038530

MaRDI QIDQ5477443zbMATH OpenFDO

Authors Mario Lefebvre

Publication date 3 July 2006

zbMATH Keywords

Brownian motionsimilarity solutionsKolmogorov backward equation

Mathematics Subject Classification ID

Diffusion processes (60J60) PDEs with randomness, stochastic partial differential equations (35R60)

Recommendations

• scientific article; zbMATH DE number 1067971
• The Laplace transform of hitting times of integrated geometric Brownian motion
• scientific article; zbMATH DE number 1349220
• First hitting time of integral diffusions and applications
• The successive hitting times for the integrated Brownian motion
• On the first-passage time of integrated Brownian motion
• On the moments of the integrated geometric Brownian motion
• scientific article; zbMATH DE number 847809

Cited in

(12)

• Exit times for geometric Brownian motion
• Moments of first-passage places for jump-diffusion processes
• The Laplace transform of hitting times of integrated geometric Brownian motion
• On the moments of the integrated geometric Brownian motion
• Hitting distributions of geometric Brownian motion
• Exact solution to a first-passage problem for an Ornstein-Uhlenbeck process with jumps and its integral
• On the duration of an epidemic
• Exit probability for an integrated geometric Brownian motion
• Moments of first-passage places and related results for the integrated Brownian motion
• Explicit solutions to the Kolmogorov backward equation
• Maximizing the expected remaining useful lifetime of a weakly controlled device
• First-passage problems for diffusion processes with state-dependent jumps

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5477443)