First Passage Problems for Asymmetric Wiener Processes

DOI10.1239/JAP/1143936251zbMATH Open1099.60056OpenAlexW2090561114MaRDI QIDQ5488997FDOQ5488997

Authors: Mario Lefebvre 

Publication date: 25 September 2006

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1143936251

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zbMATH Keywords

Brownian motionhitting timeKolmogorov equation

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Brownian motion (60J65)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• On skew Brownian motion
• Biased movement at a boundary and conditional occupancy times for diffusion processes
• Notes on the variance of the number of maxima in three dimensions
• The ruin problem and cover times of asymmetric random walks and Brownian motions

Cited In (9)

• Asymptotics for a curve with a given distribution density of the first exit position for a Wiener process
• First hitting problems for Markov chains that converge to a geometric Brownian motion
• First hitting place probabilities for a discrete version of the Ornstein-Uhlenbeck process
• First-passage problems for asymmetric diffusions and skew-diffusion processes
• Title not available (Why is that?)
• The gambler's ruin problem for a Markov chain related to the Bessel process
• The double-barrier inverse first-passage problem for Wiener process with random starting point
• On a discrete version of the CIR process
• Moments of the first-passage time of a Wiener process with drift between two elastic barriers

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