The two-barrier problem for continuously differentiable processes

DOI10.2307/1427730MaRDI QIDQ3991649zbMATH OpenOpenAlexFDO

Authors Igor Rychlik

Publication date 28 June 1992

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

Full work available at URL https://doi.org/10.2307/1427730

zbMATH Keywords

Numerical examplesrainflow cycleupper and lower bounds for the first-passage time

Mathematics Subject Classification ID

Sample path properties (60G17) Extreme value theory; extremal stochastic processes (60G70)

Recommendations

• scientific article; zbMATH DE number 5307902
• The two-barrier escape problem for compound renewal processes with two-sided jumps
• Two-barriers reflected backward doubly SDEs beyond right continuity
• SDEs with two reflecting barriers driven by semimartingales and processes with bounded \(p\)-variation
• The one-sided barrier problem for an integrated ornstein-uhlenbeck process
• On Stochastic Differential Equations with Reflecting Barriers
• Backward SDEs with two barriers and continuous coefficient: an existence result
• Backward stochastic differential equations with two barriers and generalized reflection
• Barrier reflected backward doubly stochastic differential equations with discontinuous generators

Cited in

(5)

• The continuity of barrier function with respect to the parameter
• A law of large numbers for upcrossing measures
• Gaussian integrals and Rice series in crossing distributions -- to compute the distribution of maxima and other features of Gaussian processes
• The one-sided barrier problem for an integrated ornstein-uhlenbeck process
• The two-barrier escape problem for compound renewal processes with two-sided jumps

This page was built for publication: The two-barrier problem for continuously differentiable processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3991649)