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First-passage problems for degenerate two-dimensional diffusion processes

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  • Mario Lefebvre

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Suggested Citation

  • Mario Lefebvre, 2003. "First-passage problems for degenerate two-dimensional diffusion processes," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 12(1), pages 125-139, June.
    • Handle: RePEc:spr:testjl:v:12:y:2003:i:1:p:125-139
    DOI: 10.1007/BF02595815
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    References listed on IDEAS

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    1. Lefebvre, Mario, 1989. "Moment generating function of a first hitting place for the integrated Ornstein-Uhlenbeck process," Stochastic Processes and their Applications, Elsevier, vol. 32(2), pages 281-287, August.
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    1. Mario Lefebvre, 2021. "Moments of First-Passage Places for Jump-Diffusion Processes," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(1), pages 245-253, February.
    2. Lefebvre, Mario, 2024. "Exact solution to a first-passage problem for an Ornstein–Uhlenbeck process with jumps and its integral," Statistics & Probability Letters, Elsevier, vol. 205(C).

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