A reconciliation of two different expressions for the first-passage density of Brownian motion to a curved boundary
J Durbin - Journal of applied probability, 1988 - cambridge.org
Jt Jt Jt Jt Page 1 J.Appl.Prob. 25, 829-832(1988) Printed in Israel <C> Applied Probability
Trust 1988 A RECONCILIATION OF TWO DIFFERENT EXPRESSIONS FOR THE FIRST-PASSAGE …
Trust 1988 A RECONCILIATION OF TWO DIFFERENT EXPRESSIONS FOR THE FIRST-PASSAGE …
A computational approach to first-passage-time problems for Gauss–Markov processes
A new computationally simple, speedy and accurate method is proposed to construct first-
passage-time probability density functions for Gauss–Markov processes through time …
passage-time probability density functions for Gauss–Markov processes through time …
[PDF][PDF] The lifetimes of conditioned diffusion processes
RG Pinsky - Annales de l'IHP Probabilités et statistiques, 1990 - numdam.org
Let X (t) denote the diffusion process on the bounded region D c Rd which is generated by
and which is killed upon reaching aD. We will assume that aij, bi(Rd) and that the boundary …
and which is killed upon reaching aD. We will assume that aij, bi(Rd) and that the boundary …
On the inverse of the first passage time probability problem
RM Capocelli, LM Ricciardi - Journal of Applied Probability, 1972 - cambridge.org
Since the pioneering work of Siegert (1951), the problem of determining the first passage
time distribution for a preassigned continuous and time homogeneous Markov process …
time distribution for a preassigned continuous and time homogeneous Markov process …
Limit theorems for one-dimensional diffusions and random walks in random environments
K Kawazu, Y Tamura, H Tanaka - Probability theory and related fields, 1989 - Springer
The limiting behavior of one-dimensional diffusion process in an asymptotically self-similar
random environment is investigated through the extension of Brox's method. Similar …
random environment is investigated through the extension of Brox's method. Similar …
Computer-aided simulations of Gaussian processes and related asymptotic properties
A parallel algorithm is implemented to simulate sample paths of stationary normal processes
possessing a Butterworth-type covariance, in order to investigate asymptotic properties of …
possessing a Butterworth-type covariance, in order to investigate asymptotic properties of …
On the maximum displacement of a one-dimensional diffusion process described by the telegrapher's equation
J Masoliver, GH Weiss - Physica A: Statistical Mechanics and its …, 1993 - Elsevier
Recently Orsingher (1990) has derived bounds on the probability distribution of the
maximum displacement of a one-dimensional diffusion process whose evolution is …
maximum displacement of a one-dimensional diffusion process whose evolution is …
Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test
J Durbin - Journal of Applied Probability, 1971 - cambridge.org
Let w (t), 0≦ t≦∞, be a Brownian motion process, ie, a zero-mean separable normal
process with Pr {w (0)= 0}= 1, E {w (t1) w (t2)}= min (t1, t2), and let a, b denote the …
process with Pr {w (0)= 0}= 1, E {w (t1) w (t2)}= min (t1, t2), and let a, b denote the …
[引用][C] Multi-dimensional diffusion and the Markov process on the boundary
K Sato, T Ueno - Journal of Mathematics of Kyoto University, 1965 - projecteuclid.org
W. Feller [5, 6, 7] determined all the diffusion processes in one dimension, since A.
Kolmogorov introduced the diffusion equation in 1 9 3 1. Stimulated by his work, which is of …
Kolmogorov introduced the diffusion equation in 1 9 3 1. Stimulated by his work, which is of …