scientific article; zbMATH DE number 5038530

zbMATH Open1101.35082MaRDI QIDQ5477443FDOQ5477443

Authors: Mario Lefebvre 

Publication date: 3 July 2006

Title of this publication is not available (Why is that?)

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zbMATH Keywords

Brownian motionsimilarity solutionsKolmogorov backward equation

Mathematics Subject Classification ID

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

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
• Hitting distributions of geometric Brownian motion
• On the moments of the integrated 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

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