The mean of the running maximum of an integrated Gauss–Markov process and the connection with its first-passage time-Reference-Cited by-同舟云学术

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The mean of the running maximum of an integrated Gauss–Markov process and the connection with its first-passage time

Published:2017-01-17 Issue:3 Volume:35 Page:499-510
ISSN:0736-2994
Container-title:Stochastic Analysis and Applications
language:en
Short-container-title:Stochastic Analysis and Applications

Author:

Abundo Mario¹

Affiliation:

1. Dipartimento di Matematica, Università “Tor Vergata,” Rome, Italy

Publisher

Informa UK Limited

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07362994.2016.1273784

Reference14 articles.

1. An inverse first-passage problem for one-dimensional diffusions with random starting point

2. Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions

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1. A first-passage-place problem for integrated diffusion processes;Journal of Applied Probability;2023-05-22

2. One-sided maximal inequalities for a randomly stopped Bessel process;Sequential Analysis;2023-04-03

3. Fractionally integrated Gauss-Markov processes and applications;Communications in Nonlinear Science and Numerical Simulation;2021-10

4. A fractional PDE for first passage time of time-changed Brownian motion and its numerical solution;Applied Numerical Mathematics;2020-09

5. Fractional Ornstein-Uhlenbeck Process with Stochastic Forcing, and its Applications;Methodology and Computing in Applied Probability;2019-11-07

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