Stochastic dynamics and passage times for diffusion approximations

DOI10.1007/S12591-008-0009-ZMaRDI QIDQ628558zbMATH OpenOpenAlexFDO

Authors P. R. Vittal, T. Jagadesan, V. Muralidhar

Publication date 11 March 2011

Published in Differential Equations and Dynamical Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s12591-008-0009-z

zbMATH Keywords

diffusion approximationreflecting barrierabsorbing barriergeneralised separable kernelimbedding method

Mathematics Subject Classification ID

Diffusion processes (60J60) Generation, random and stochastic difference and differential equations (37H10)

Recommendations

• Diffusion-approximation in stochastically forced kinetic equations
• scientific article; zbMATH DE number 33508
• scientific article; zbMATH DE number 18903
• Passage time statistics in a stochastic Verhulst model
• Diffusion first passage times: Approximations and related differential equations
• Dynamics of stochastic reaction-diffusion equations
• Stochastic analysis of reaction-diffusion processes
• Exact simulation of the first-passage time of diffusions
• Stochastic representation of subdiffusion processes with time-dependent drift
• First-passage-time densities for time-non-homogeneous diffusion processes

Cites work

• scientific article; zbMATH DE number 3508918 (Why is no real title available?)
• scientific article; zbMATH DE number 3240796 (Why is no real title available?)
• A laplace transform representation in a class of renewal queueing and risk processes
• First passage time problems for a class of master equations with separable kernels
• Random Walks with Nonnearest Neighbor Transitions. I. Analytic 1-D Theory for Next-Nearest Neighbor and Exponentially Distributed Steps
• Some first passage time problems with restricted reserve and two components of income
• Storage problems in continuous time with random inputs, random outputs, and deterministic release
• The Gerber–Shiu function in a Sparre Andersen risk process perturbed by diffusion

Cited in

(14)

• Timing observations of diffusions
• Stochastic dynamics for passage times and diffusion approximations for finite capacity storage models with different kinds of barriers
• Biased movement at a boundary and conditional occupancy times for diffusion processes
• Means action times, time lags, and mean first passage times for some diffusion problems
• Master equation with two times: diffusion in external field
• scientific article; zbMATH DE number 3907508 (Why is no real title available?)
• Generalized master equation for first-passage problems in partitioned spaces
• Diffusion first passage times: Approximations and related differential equations
• An occupation time related potential measure for diffusion processes
• A method for identifying diffusive trajectories with stochastic models
• scientific article; zbMATH DE number 1248051 (Why is no real title available?)
• Storage models for a class of master equations with separable kernels
• A stochastic approach to enhanced diffusion
• Passage time statistics in exponential distributed time-delay models: noisy asymptotic dynamics

This page was built for publication: Stochastic dynamics and passage times for diffusion approximations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q628558)