The spectral decomposition of a diffusion hitting time
From MaRDI portal
Cited in
(21)- Distribution of the time to explosion for one-dimensional diffusions
- Lie symmetries methods in boundary crossing problems for diffusion processes
- Volterra integral equations of the first kind and applications to linear diffusions
- Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process1
- Another look at the Hartman-Watson distributions
- The hitting time density for a reflected Brownian motion
- Probability laws related to the Jacobi theta and Riemann zeta functions, and Brownian excur\-sions
- On times to quasi-stationarity for birth and death processes
- On the excursion theory for linear diffusions
- Explicit asymptotics on first passage times of diffusion processes
- Integration by parts formula for exit times of one dimensional diffusions
- Time and place of the maximum for one-dimensional diffusion bridges and meanders
- Hitting time distributions for denumerable birth and death processes
- THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
- A cumulant approach for the first-passage-time problem of the Feller square-root process
- On Kac functionals of one-dimensional diffusions
- An eigenvalue decomposition for first hitting times in random walks
- Diffusion first passage times: Approximations and related differential equations
- Small-\(t\) expansion for the Hartman-Watson distribution
- On absorption times and Dirichlet eigenvalues
- Skew Ornstein-Uhlenbeck processes and their financial applications
This page was built for publication: The spectral decomposition of a diffusion hitting time
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1163297)
