The First Passage Problem for a Continuous Markov Process

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Some Darling-Siegert relationships connected with random flights
Extrema statistics of Wiener-Einstein processes in one, two, and three dimensions
Estimates for the probability of ruin starting with a large initial reserve
Optimal control of an Ornstein-Uhlenbeck process
Logistic population growth under random dispersal
Delayed-exponential approximation of a linear homogeneous diffusion model of neuron
Locally best tests for Gaussian processes
Persistence in density dependent stochastic populations
Optimal search strategies for Wiener processes
Determination of the inter-spike times of neurons receiving randomly arriving post-synaptik potentials
Conditioned moments of time to fixation
On statistical methods in neuronal spike-train analysis
Stochastic differential equations for compounded risk reserves
Extremes of diffusions over fixed intervals
Level crossing problems and drift reliability
Coding of time-dependent stimuli in homogeneous and heterogeneous neural populations
The randomized first-hitting problem of continuously time-changed Brownian motion
Capacity expansion games with application to competition in power generation investments
First-passage time statistics of Markov gamma processes
A further study of the choice between two hedging strategies -- the continuous case
Ornstein-Uhlenbeck processes for geophysical data analysis
Numerical determination of hitting time distributions from their Laplace transforms: simple cases
A theory of risk, return and solvency
First passage time and extremum properties of Markov and independent processes
On the first-passage area of a one-dimensional jump-diffusion process
On the trivariate joint distribution of Brownian motion and its maximum and minimum
Fiscal stimulus as an optimal control problem
When is it best to follow the leader?
Joint distribution of first-passage time and first-passage area of certain Lévy processes
Dynamic reliability analysis of nonlinear structures using a Duffing-system-based equivalent nonlinear system method
Maximum likelihood estimation for an Ornstein-Uhlenbeck model for neural activity
First-passage times of regime switching models
Diffusion occupation time before exiting
Markets with random lifetimes and private values: mean reversion and option to trade
A Darling-Siegert formula relating some Bessel integrals and random walks
On a stopped functional for a bidimensional process
Random process theory approach to geometric heterogeneous surfaces: effective fluid-solid interaction
Extremes of realizations of continuous time stationary stochastic processes on closed intervals
Distribution of time above a threshold for Markov processes
Solutions for a stochastic model of neuronal spike
Expansion of the Weber function \(D_ \nu\) for small order, with an application
Theoretical foundation of population genetics at the molecular level
A stochastic model for the membrane potential of a stimulated neuron
The inverse first passage time problem for killed Brownian motion
Stochastic nonlinear model for somatic cell population dynamics during ovarian follicle activation
Analytical survival analysis of the Ornstein-Uhlenbeck process
Rational inattention when decisions take time
Maximum values in queueing processes
Solving an Inverse First-Passage-Time Problem for Wiener Process Subject to Random Jumps from a Boundary
Factorization identities for reflected processes, with applications
One-dimensional reflected diffusions with two boundaries and an inverse first-hitting problem
Performance analysis of sequential probability ratio test
A Corrected wiener process approximation for cusum arls
First-passage problems for one-dimensional diffusions with random jumps from a boundary
Recovering a distribution from its translated fractional moments
Stationary Markov Processes With Continuous Paths
Intermediate-level crossings of a first-passage path
A probabilistic analysis of the trading the line strategy
Double barrier option under regime-switching exponential mean-reverting process
Some results on first passage times in one dimensional random walks
Distribution of a functional of continuous Markov processes
Ein verallgemeinertes Spiegelungsprinzip für den Proze\ der Brownschen Bewegung
On the probability of ruin of risk processes approximated by a diffusion process
Repeated chi-square testing
Crossing probabilities for a square root boundary by a bessel process
The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
A diffusion approximation for the ruin function of a risk process with compounding assets
Service level robustness in stochastic production planning under random machine breakdowns
A central limit theorem for extreme sojourns of diffusion processes
Growth with regulation in random environment
FIRST PASSAGE TIME PROBLEM FOR BIASED CONTINUOUS-TIME RANDOM WALKS
Efficiently pricing double barrier derivatives in stochastic volatility models
A time-homogeneous diffusion model with tax
On first–crossing times of one–dimensional diffusions over two time–dependent boundaries
On transition and first hitting time densities and moments of the Ornstein-Uhlenbeck process
Interlacing relaxation and first-passage phenomena in reversible discrete and continuous space Markovian dynamics
Crossover scaling functions in the asymmetric avalanche process
Long- and short-time asymptotics of the first-passage time of the Ornstein-Uhlenbeck and other mean-reverting processes
Exact simulation of first exit times for one-dimensional diffusion processes
Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein-Uhlenbeck process
Mean exit time and escape probability for the Ornstein–Uhlenbeck process
Geometric fluid approximation for general continuous-time Markov chains
Simulation of sample paths for Gauss-Markov processes in the presence of a reflecting boundary
Pairs trading: optimal thresholds and profitability
Polynomial bounds in the Ergodic theorem for one-dimensional diffusions and integrability of hitting times
The joint Laplace transforms for diffusion occupation times
On the densities of certain bounded diffusion processes
Asymptotic results for time-changed Lévy processes sampled at hitting times
Asymptotische Verteilungen der Zeit ersten Durchganges im periodischen Falle
Gaussian-Markov Processes and a Boundary Value Problem
Regarding stopping rules for Brownian motion and random walks
Diffusion approximation and first passage time problem for a model neuron
Total Positivity, Absorption Probabilities and Applications
Critical scaling for the SIS stochastic epidemic
Diffusion Processes in One Dimension
An integral equation for the distribution of the first exit time of a reflected Brownian motion
Diffusion models for the dispersal of insects near an attractive center
Mean first passage time and absorption probabilities of a Lévy flier on a finite interval: discrete space and continuous limit via Fock space approach
The first-passage area of Ornstein-Uhlenbeck process revisited
Unified approach for solving exit problems for additive-increase and multiplicative-decrease processes

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