Solutions for some diffusion processes with two barriers

DOI10.2307/3211975MaRDI QIDQ5652005zbMATH OpenOpenAlexFDO

Authors 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)

Cited in

(9)

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

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