Some randomized first-passage problems for one-dimensional diffusion processes

MaRDI QIDQ5326998zbMATH OpenFDO

Authors Mario Abundo

Publication date 1 August 2013

Full work available at URL http://www.jams.or.jp/notice/scmjol/2013.html

zbMATH Keywords

diffusionfirst-passage timeinverse first-passage problem

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

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Cited in

(18)

• The randomized first-hitting problem of continuously time-changed Brownian motion
• First passage probabilities of one-dimensional diffusion processes
• A randomized first-passage problem for drifted Brownian motion subject to hold and jump from a boundary
• One-dimensional reflected diffusions with two boundaries and an inverse first-hitting problem
• First-passage problems for one-dimensional diffusions with random jumps from a boundary
• scientific article; zbMATH DE number 3888651 (Why is no real title available?)
• Intermediate-level crossings of a first-passage path
• Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions
• A first-passage problem for a two-dimensional controlled random walk
• Smooth first-passage densities for one-dimensional diffusions
• scientific article; zbMATH DE number 4078957 (Why is no real title available?)
• Random Processes
• scientific article; zbMATH DE number 1563434 (Why is no real title available?)
• An inverse problem for the first-passage place of some diffusion processes with random starting point
• Randomization of a linear boundary in the first-passage problem of Brownian motion
• An inverse first-passage problem revisited: the case of fractional Brownian motion, and time-changed Brownian motion
• An inverse first-passage problem for one-dimensional diffusions with random starting point
• Inverse first-passage problems of a diffusion with resetting

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