Solutions for some diffusion processes with two barriers

DOI10.2307/3211975zbMath0241.60067OpenAlexW1968930216MaRDI QIDQ5652005

Arnold L. Sweet, J. C Hardin

Publication date: 1970

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

Full work available at URL: https://doi.org/10.2307/3211975

Mathematics Subject Classification ID

Diffusion processes (60J60)

Related Items

Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes, Large finite population queueing systems: The single-server model, Long- and short-time asymptotics of the first-passage time of the Ornstein–Uhlenbeck and other mean-reverting processes, First passage time and extremum properties of Markov and independent processes, On the dynamics of a finite buffer queue conditioned on the amount of loss, The Brownian approximation for rate-control throttles and the \(G/G/1/C\) queue, On the densities of certain bounded diffusion processes, Asymptotics of two-boundary first-exit-time densities for Gauss-Markov processes, Properties of the Cox–Ingersoll–Ross Interest Rate Processes with Two-sided Reflections