Method of filtration in first passage time problems

DOI10.1088/1751-8121/AD6AB7MaRDI QIDQ6601045FDOQ6601045

Authors: Yuta Sakamoto, Takahiro Sakaue 

Publication date: 10 September 2024

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

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zbMATH Keywords

Brownian motionstochastic processfirst passage time problem

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Cites Work

• Title not available (Why is that?)
• A guide to first-passage processes
• Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process¹
• Brownian motion in a field of force and the diffusion model of chemical reactions
• First-passage-time density and moments of the ornstein-uhlenbeck process
• On the First Passage Time Probability Problem
• The survival probability of a diffusing particle constrained by two moving, absorbing boundaries

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