Similarity solutions of first-passage problems for two-dimensional Wiener processes

DOI10.1016/0167-7152(95)00172-7MaRDI QIDQ1126102zbMATH OpenOpenAlexFDO

Authors Mario Lefebvre

Publication date 8 December 1996

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(95)00172-7

zbMATH Keywords

Brownian motionhitting timeKolmogorov equation

Mathematics Subject Classification ID

Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Review text

For a two-dimensional drifted Brownian motion with constant drifts, the generating function \(M(x,y)\) of the time of the process hitting a set \(D\) satisfies a Kolmogorov backward equation. All \(D\)'s are identified for \(M(x,y)\) having the form of \(F(x)G(y)\) or \(N(f(x)+ g(y))\).

Recommendations

• Moments of first-passage places and related results for the integrated Brownian motion
• First-Passage Densities of a Two-Dimensional Process
• First-Passage Distributions of Bidimensional Processes
• Problèmes de premier passage résolubles par la méthode de séparation des variables
• On the inverse of the first hitting time problem for bidimensional processes

Cites work

• A Probability Approach to the Heat Equation
• Hitting spheres with Brownian motion
• scientific article; zbMATH DE number 3834473 (Why is no real title available?)
• scientific article; zbMATH DE number 3814037 (Why is no real title available?)
• Some Theorems Concerning 2-Dimensional Brownian Motion

Cited in

(6)

• Hitting parabolas and exponential curves with diffusion processes
• First-passage times of two-dimensional Brownian motion
• HITTING LINES and CIRCLES WITH DIFFUSION PROCESSES
• scientific article; zbMATH DE number 1067971 (Why is no real title available?)
• scientific article; zbMATH DE number 929630 (Why is no real title available?)
• First passage to a semi-infinite line for a two-dimensional Wiener process

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