First Passage Problems for Asymmetric Wiener Processes

DOI10.1239/JAP/1143936251MaRDI QIDQ5488997zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3240796 (Why is no real title available?)
• scientific article; zbMATH DE number 3249395 (Why is no real title available?)
• Biased movement at a boundary and conditional occupancy times for diffusion processes
• Notes on the variance of the number of maxima in three dimensions
• On skew Brownian motion
• The ruin problem and cover times of asymmetric random walks and Brownian motions

Cited in

(10)

• First-passage problems for asymmetric diffusions and skew-diffusion processes
• First hitting place probabilities for a discrete version of the Ornstein-Uhlenbeck process
• First passage to a semi-infinite line for a two-dimensional Wiener process
• The gambler's ruin problem for a Markov chain related to the Bessel process
• First hitting problems for Markov chains that converge to a geometric Brownian motion
• The double-barrier inverse first-passage problem for Wiener process with random starting point
• Asymptotics for a curve with a given distribution density of the first exit position for a Wiener process
• Moments of the first-passage time of a Wiener process with drift between two elastic barriers
• On a discrete version of the CIR process
• scientific article; zbMATH DE number 3930041 (Why is no real title available?)

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