First-exit-time problems for two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses
From MaRDI portal
Publication:6550286
Recommendations
Cites Work
- scientific article; zbMATH DE number 1817636 (Why is no real title available?)
- scientific article; zbMATH DE number 3116034 (Why is no real title available?)
- scientific article; zbMATH DE number 3733022 (Why is no real title available?)
- scientific article; zbMATH DE number 3736679 (Why is no real title available?)
- scientific article; zbMATH DE number 3438157 (Why is no real title available?)
- scientific article; zbMATH DE number 2149575 (Why is no real title available?)
- scientific article; zbMATH DE number 1369679 (Why is no real title available?)
- A cumulant approach for the first-passage-time problem of the Feller square-root process
- A first passage problem for a bivariate diffusion process: Numerical solution with an application to neuroscience when the process is Gauss-Markov
- A guide to first-passage processes
- An asymptotic analysis of the mean first passage time for narrow escape problems. I: Two-dimensional domains
- An asymptotic analysis of the mean first passage time for narrow escape problems. II: The sphere
- Analytical survival analysis of the Ornstein-Uhlenbeck process
- Asymptotics of the hitting probability for a small sphere and a two dimensional Brownian motion with discontinuous anisotropic drift
- Boundary crossing probabilities for high-dimensional Brownian motion
- Diffusion of Protein Receptors on a Cylindrical Dendritic Membrane with Partially Absorbing Traps
- Exit Times and Poisson Kernels of the Ornstein–Uhlenbeck Diffusion
- Explicit asymptotics on first passage times of diffusion processes
- Exponential trends of Ornstein–Uhlenbeck first-passage-time densities
- First passage times of two-dimensional correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes
- First-passage phenomena and their applications
- First-passage problems for degenerate two-dimensional diffusion processes
- First-passage times of two-dimensional Brownian motion
- HITTING LINES and CIRCLES WITH DIFFUSION PROCESSES
- Hitting spheres with Brownian motion revisited
- Hitting time for Bessel processes-walk on moving spheres algorithm (WoMS)
- Hitting times to spheres of Brownian motions with and without drifts
- Last-passage time for linear diffusions and application to the emptying time of a box
- Multidimensional hitting time results for Brownian bridges with moving hyperplanar boundaries
- On a symmetry-based constructive approach to probability densities for two-dimensional diffusion processes
- On the first passage problem for correlated Brownian motion
- On the first-passage times of certain Gaussian processes, and related asymptotics
- Preface: new trends in first-passage methods and applications in the life sciences and engineering
- Similarity solutions of partial differential equations in probability
- Some Properties of CIR Processes
- Some remarks on the Rayleigh process
- Table of integrals, series, and products. Translated from the Russian. Translation edited and with a preface by Victor Moll and Daniel Zwillinger
- The moving-eigenvalue method: hitting time for Itô processes and moving boundaries
- Time-inhomogeneous Feller-type diffusion process with absorbing boundary condition
- Two singular diffusion problems
This page was built for publication: First-exit-time problems for two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6550286)