Some remarks on the Rayleigh process

DOI10.2307/3214182MaRDI QIDQ3732689zbMATH OpenOpenAlexFDO

Authors Virginia Giorno, Amelia G. Nobile, L. M. Ricciardi, Laura Sacerdote

Publication date 1986

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3214182

zbMATH Keywords

Bessel processcontinuous-state branching processgenerating function of the first passageRayleigh process

Mathematics Subject Classification ID

Diffusion processes (60J60) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80)

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Cited in

(28)

• On the excursion theory for linear diffusions
• Bounds for the transition density of time-homogeneous diffusion processes
• Diffusion approximation and first-passage-time problem for a model neuron. III: A birth-and-death process approach
• Sequential maximum likelihood estimation for the parameter of the linear drift term of the Rayleigh diffusion process
• Diffusion approximation to a queueing system with time-dependent arrival and service rates
• A stochastic diffusion process based on the Lundqvist-Korf growth: computational aspects and simulation
• Time-inhomogeneous Feller-type diffusion process with absorbing boundary condition
• The stochastic Rayleigh diffusion model: Statistical inference and computational aspects. applications to modelling of real cases
• Large and moderate deviations in testing Rayleigh diffusion model
• Trend analysis and computational statistical estimation in a stochastic Rayleigh model: Simulation and application
• A cumulant approach for the first-passage-time problem of the Feller square-root process
• A multispecies birth-death-immigration process and its diffusion approximation
• Generalized Rayleigh and Jacobi processes and exceptional orthogonal polynomials
• Analysis of reflected diffusions via an exponential time-based transformation
• A copula-based method to build diffusion models with prescribed marginal and serial dependence
• Stochastic integrate and fire models: a review on mathematical methods and their applications
• Dirac(-Pauli), Fokker-Planck equations and exceptional Laguerre polynomials
• Solution of the Fokker-Planck equation with a logarithmic potential and mixed eigenvalue spectrum
• Polynomial bounds in the Ergodic theorem for one-dimensional diffusions and integrability of hitting times
• Joint densities of first hitting times of a diffusion process through two time-dependent boundaries
• Moderate Deviation for Parameter Estimation in the Rayleigh Diffusion Process
• Hypothesis testing in a Rayleigh diffusion model
• The first passage time problem for Gauss-diffusion processes: algorithmic approaches and applications to LIF neuronal model
• First-exit-time problems for two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses
• Extreme first passage times for populations of identical rare events
• Spectral gaps and exponential integrability of hitting times for linear diffusions
• Berry-Esseen bound and Cramér-type moderate deviations of the maximum likelihood estimator in Rayleigh diffusion process
• The gambler's ruin problem for a Markov chain related to the Bessel process

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