First-Passage Problems for Asymmetric Diffusions and Skew-diffusion Processes
From MaRDI portal
Publication:5851887
DOI10.1142/S1230161209000256zbMath1190.60073MaRDI QIDQ5851887
Publication date: 26 January 2010
Published in: Open Systems & Information Dynamics (Search for Journal in Brave)
one-dimensional diffusion processskew Brownian motionasymmetric Wiener processskew diffusion process
Diffusion processes (60J60) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)
Related Items (6)
On first hitting times for skew CIR processes ⋮ Some properties of doubly skewed CIR processes ⋮ First hitting problems for Markov chains that converge to a geometric Brownian motion ⋮ On the first-passage area of a one-dimensional jump-diffusion process ⋮ On a discrete version of the CIR process ⋮ First hitting times for doubly skewed Ornstein-Uhlenbeck processes
Cites Work
- On skew Brownian motion
- Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions
- Biased movement at a boundary and conditional occupancy times for diffusion processes
- On the First-Passage Time of a Diffusion Process Over a One-Sided Stochastic Boundary
- First Passage Problems for Asymmetric Wiener Processes
This page was built for publication: First-Passage Problems for Asymmetric Diffusions and Skew-diffusion Processes
