We revise the classical problem of characterizing first exit times of a harmonically trapped
particle whose motion is described by a one-or multidimensional Ornstein–Uhlenbeck …

Three expressions are provided for the first hitting time density of an Ornstein-Uhlenbeck
process to reach a fixed level. The first hinges on an eigenvalue expansion involving zeros …

Wang and Pötzelberger (1997) derived an explicit formula for the probability that a Brownian
motion crosses a one-sided piecewise linear boundary and used this formula to …

The frequency stability of an optical frequency standard at 729 nm, based on a single
calcium ion, is numerically studied. It is investigated through the Allan deviation, whose …

This thesis summarizes most of my recent research in the field of portfolio optimization. The
main topics which I have addressed are portfolio problems with stochastic interest rates and …

The smoothing of capital market returns is possible if the pension plan allows for some kind
of intergenerational risk transfer. This can be realized if the total of assets of the pension …

In this paper, we study the classical problem of the first hitting time density to a moving
boundary for a diffusion process, which satisfies the Cherkasov condition, and hence, can …

Domains of attraction are identified for the universality classes of one-point asymptotic
fluctuations for the Kardar-Parisi-Zhang (KPZ) equation with general initial data. The …

We propose an approach to compute the boundary crossing probabilities for a class of
diffusion processes which can be expressed as piecewise monotone (not necessarily one-to …

In this paper, we study the classical problem of the first passage hitting density of an
Ornstein--Uhlenbeck process. We give two complementary (forward and backward) …