First-exit-time problems for two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses
Author:
Affiliation:
1. Dipartimento di Matematica, Università degli Studi di Salerno, Fisciano, Italy
2. Dipartimento di Informatica, Università degli Studi di Salerno, Fisciano, Italy
Funder
European Union – Next Generation EU
GNCS of INdAM
Publisher
Informa UK Limited
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442508.2024.2315274
Reference51 articles.
1. On the first-passage times of certain Gaussian processes, and related asymptotics
2. L. Arnold, Stochastic Differential Equations: Theory and Applications, John Wiley & Sons Inc, New York London Sydney, 1974.
3. Multidimensional hitting time results for Brownian bridges with moving hyperplanar boundaries
4. A first passage problem for a bivariate diffusion process: Numerical solution with an application to neuroscience when the process is Gauss–Markov
5. Handbook of Brownian Motion - Facts and Formulae
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