Journal
FLUCTUATION AND NOISE LETTERS
Volume 13, Issue 4, Pages -Publisher
WORLD SCIENTIFIC PUBL CO PTE LTD
DOI: 10.1142/S0219477514300018
Keywords
Level crossing problem; Brownian motion; Ornstein-Uhlenbeck process
Funding
- MINECO [FIS2013-47532-C3-2-P]
- Generalitat de Catalunya [2014 SGR 608]
Ask authors/readers for more resources
We review the level-crossing problem which includes the first-passage and escape problems as well as the theory of extreme values (the maximum, the minimum, the maximum absolute value and the range or span). We set the definitions and general results and apply them to one-dimensional diffusion processes with explicit results for the Brownian motion and the Ornstein-Uhlenbeck (OU) process.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available
Share Paper
