Profeta, Christophe Persistence and exit times for some additive functionals of skew Bessel processes. (English) Zbl 07306267 J. Theor. Probab. 34, No. 1, 363-390 (2021). MSC: 60J60 60G40 60G18 PDF BibTeX XML Cite \textit{C. Profeta}, J. Theor. Probab. 34, No. 1, 363--390 (2021; Zbl 07306267) Full Text: DOI
Molchan, G. Leadership exponent in the pursuit problem for 1-D random particles. (English) Zbl 07327967 J. Stat. Phys. 181, No. 3, 952-967 (2020). MSC: 60F10 60F99 60G15 60G50 60G51 PDF BibTeX XML Cite \textit{G. Molchan}, J. Stat. Phys. 181, No. 3, 952--967 (2020; Zbl 07327967) Full Text: DOI
Zhang, Yong-Chao; Zhang, Yi An entry-exit model involving construction and abandonment periods. (English) Zbl 1453.60096 Math. Methods Appl. Sci. 43, No. 5, 2735-2746 (2020). MSC: 60G40 91B06 PDF BibTeX XML Cite \textit{Y.-C. Zhang} and \textit{Y. Zhang}, Math. Methods Appl. Sci. 43, No. 5, 2735--2746 (2020; Zbl 1453.60096) Full Text: DOI
Li, Yingqiu; Chen, Ye; Wang, Shilin; Peng, Zhaohui Exit identities for diffusion processes observed at Poisson arrival times. (English) Zbl 1451.60092 Front. Math. China 15, No. 3, 507-528 (2020). MSC: 60J60 60G17 PDF BibTeX XML Cite \textit{Y. Li} et al., Front. Math. China 15, No. 3, 507--528 (2020; Zbl 1451.60092) Full Text: DOI
Borisov, D.; Sultanov, O. Asymptotic analysis of mean exit time for dynamical systems with a single well potential. (English) Zbl 1441.35020 J. Differ. Equations 269, No. 8, 78-116 (2020). MSC: 35B25 35C20 35J25 PDF BibTeX XML Cite \textit{D. Borisov} and \textit{O. Sultanov}, J. Differ. Equations 269, No. 8, 78--116 (2020; Zbl 1441.35020) Full Text: DOI
Maller, Ross A.; Mason, David M. Compactness and continuity properties for a Lévy process at a two-sided exit time. (English) Zbl 1440.62066 Electron. J. Probab. 25, Paper No. 51, 26 p. (2020). MSC: 62E17 62B15 62G05 60G65 PDF BibTeX XML Cite \textit{R. A. Maller} and \textit{D. M. Mason}, Electron. J. Probab. 25, Paper No. 51, 26 p. (2020; Zbl 1440.62066) Full Text: DOI Euclid
Gesù, Giacomo Di; Lelièvre, Tony; Peutrec, Dorian Le; Nectoux, Boris Sharp asymptotics of the first exit point density. (English) Zbl 1431.60087 Ann. PDE 5, No. 1, Paper No. 5, 174 p. (2019). MSC: 60J60 58J65 60H10 60J27 PDF BibTeX XML Cite \textit{G. Di Gesù} et al., Ann. PDE 5, No. 1, Paper No. 5, 174 p. (2019; Zbl 1431.60087) Full Text: DOI arXiv
Li, Bo; Vu, Nhat Linh; Zhou, Xiaowen Exit problems for general draw-down times of spectrally negative Lévy processes. (English) Zbl 1415.60048 J. Appl. Probab. 56, No. 2, 441-457 (2019). MSC: 60G51 60E10 60J35 PDF BibTeX XML Cite \textit{B. Li} et al., J. Appl. Probab. 56, No. 2, 441--457 (2019; Zbl 1415.60048) Full Text: DOI arXiv
Colladay, Don; Langford, Jeffrey J.; McDonald, Patrick Comparison results, exit time moments, and eigenvalues on Riemannian manifolds with a lower Ricci curvature bound. (English) Zbl 1410.58016 J. Geom. Anal. 28, No. 4, 3906-3927 (2018). Reviewer: Peter B. Gilkey (Eugene) MSC: 58J65 58J50 35P15 PDF BibTeX XML Cite \textit{D. Colladay} et al., J. Geom. Anal. 28, No. 4, 3906--3927 (2018; Zbl 1410.58016) Full Text: DOI arXiv
Zhang, Yong-Chao Entry-exit decisions with implementation delay under uncertainty. (English) Zbl 06945739 Appl. Math., Praha 63, No. 4, 399-422 (2018). MSC: 60G40 91B06 PDF BibTeX XML Cite \textit{Y.-C. Zhang}, Appl. Math., Praha 63, No. 4, 399--422 (2018; Zbl 06945739) Full Text: DOI arXiv
Guerra, Manuel; Nunes, Cláudia; Oliveira, Carlos Exit option for a class of profit functions. (English) Zbl 1395.49022 Int. J. Comput. Math. 94, No. 11, 2178-2193 (2017). MSC: 49L20 60G40 65L10 PDF BibTeX XML Cite \textit{M. Guerra} et al., Int. J. Comput. Math. 94, No. 11, 2178--2193 (2017; Zbl 1395.49022) Full Text: DOI
Benaissa, Abdallah; Benlahcene, Moussa Asymptotic expansion of double Laplace-type integrals with a curve of minimal points and application to an exit time problem. (English) Zbl 1424.41055 Math. Slovaca 67, No. 3, 737-750 (2017). MSC: 41A60 PDF BibTeX XML Cite \textit{A. Benaissa} and \textit{M. Benlahcene}, Math. Slovaca 67, No. 3, 737--750 (2017; Zbl 1424.41055) Full Text: DOI
Varadhan, S. R. S. Large deviations. (English) Zbl 1377.60006 Courant Lecture Notes in Mathematics 27. Providence, RI: American Mathematical Society (AMS); New York, NY: Courant Institute of Mathematical Sciences (ISBN 978-0-8218-4086-3/pbk; 978-1-4704-3585-1/ebook). vii, 104 p. (2016). Reviewer: Thorsten Dickhaus (Berlin) MSC: 60-02 60F10 60J25 PDF BibTeX XML Cite \textit{S. R. S. Varadhan}, Large deviations. Providence, RI: American Mathematical Society (AMS); New York, NY: Courant Institute of Mathematical Sciences (2016; Zbl 1377.60006)
Berglund, Nils; Dutercq, Sébastien The Eyring-Kramers law for Markovian jump processes with symmetries. (English) Zbl 1365.60074 J. Theor. Probab. 29, No. 4, 1240-1279 (2016). Reviewer: Nikola Sandrić (Zagreb) MSC: 60J75 60J27 60K35 20C35 PDF BibTeX XML Cite \textit{N. Berglund} and \textit{S. Dutercq}, J. Theor. Probab. 29, No. 4, 1240--1279 (2016; Zbl 1365.60074) Full Text: DOI arXiv
Arapostathis, Ari; Biswas, Anup; Caffarelli, Luis The Dirichlet problem for stable-like operators and related probabilistic representations. (English) Zbl 1352.60080 Commun. Partial Differ. Equations 41, No. 9, 1472-1511 (2016). MSC: 60H10 60J75 60J45 60G52 60H30 PDF BibTeX XML Cite \textit{A. Arapostathis} et al., Commun. Partial Differ. Equations 41, No. 9, 1472--1511 (2016; Zbl 1352.60080) Full Text: DOI
Devulder, Alexis Persistence of some additive functionals of Sinai’s walk. (English. French summary) Zbl 1350.60110 Ann. Inst. Henri Poincaré, Probab. Stat. 52, No. 3, 1076-1105 (2016). MSC: 60K37 60G50 60J55 PDF BibTeX XML Cite \textit{A. Devulder}, Ann. Inst. Henri Poincaré, Probab. Stat. 52, No. 3, 1076--1105 (2016; Zbl 1350.60110) Full Text: DOI Euclid
Rokhlin, Dmitry B.; Mironenko, Georgii Regular finite fuel stochastic control problems with exit time. (English) Zbl 1347.93271 Math. Methods Oper. Res. 84, No. 1, 105-127 (2016). MSC: 93E20 49L25 49N90 93B40 PDF BibTeX XML Cite \textit{D. B. Rokhlin} and \textit{G. Mironenko}, Math. Methods Oper. Res. 84, No. 1, 105--127 (2016; Zbl 1347.93271) Full Text: DOI arXiv
Hurtado, A.; Markvorsen, S.; Palmer, V. Estimates of the first Dirichlet eigenvalue from exit time moment spectra. (English) Zbl 1354.58025 Math. Ann. 365, No. 3-4, 1603-1632 (2016). Reviewer: Salah Mehdi (Metz) MSC: 58J50 53C20 PDF BibTeX XML Cite \textit{A. Hurtado} et al., Math. Ann. 365, No. 3--4, 1603--1632 (2016; Zbl 1354.58025) Full Text: DOI
Uchiyama, Kôhei Density of space-time distribution of Brownian first hitting of a disc and a ball. (English) Zbl 1361.60073 Potential Anal. 44, No. 3, 497-541 (2016). Reviewer: René L. Schilling (Dresden) MSC: 60J65 60J60 60H10 60J45 PDF BibTeX XML Cite \textit{K. Uchiyama}, Potential Anal. 44, No. 3, 497--541 (2016; Zbl 1361.60073) Full Text: DOI
Berglund, Nils; Dutercq, Sébastien Interface dynamics of a metastable mass-conserving spatially extended diffusion. (English) Zbl 1335.60145 J. Stat. Phys. 162, No. 2, 334-370 (2016). MSC: 60J60 60H10 60K35 82C21 82C24 PDF BibTeX XML Cite \textit{N. Berglund} and \textit{S. Dutercq}, J. Stat. Phys. 162, No. 2, 334--370 (2016; Zbl 1335.60145) Full Text: DOI arXiv
Castell, Fabienne; Guillotin-Plantard, Nadine; Watbled, Frédérique Persistence exponent for random processes in Brownian scenery. (English) Zbl 1335.60187 ALEA, Lat. Am. J. Probab. Math. Stat. 13, No. 1, 79-94 (2016). MSC: 60K37 60F05 60F17 60J65 60G15 60G18 PDF BibTeX XML Cite \textit{F. Castell} et al., ALEA, Lat. Am. J. Probab. Math. Stat. 13, No. 1, 79--94 (2016; Zbl 1335.60187) Full Text: Link
Vershik, A. M.; Malyutin, A. V. Phase transition in the exit boundary problem for random walks on groups. (English. Russian original) Zbl 1328.60117 Funct. Anal. Appl. 49, No. 2, 86-96 (2015); translation from Funkts. Anal. Prilozh. 49, No. 2, 7-20 (2015). MSC: 60G50 60J10 60J50 05C81 PDF BibTeX XML Cite \textit{A. M. Vershik} and \textit{A. V. Malyutin}, Funct. Anal. Appl. 49, No. 2, 86--96 (2015; Zbl 1328.60117); translation from Funkts. Anal. Prilozh. 49, No. 2, 7--20 (2015) Full Text: DOI
Landriault, David; Li, Bin; Li, Shu Analysis of a drawdown-based regime-switching Lévy insurance model. (English) Zbl 1308.91086 Insur. Math. Econ. 60, 98-107 (2015). MSC: 91B30 60G40 60G51 62P05 PDF BibTeX XML Cite \textit{D. Landriault} et al., Insur. Math. Econ. 60, 98--107 (2015; Zbl 1308.91086) Full Text: DOI
Duan, Jinqiao An introduction to stochastic dynamics. (English) Zbl 1359.60003 Cambridge Texts in Applied Mathematics. Cambridge: Cambridge University Press (ISBN 978-1-107-42820-1/pbk; 978-1-107-07539-9/hbk). xvii, 291 p. (2015). Reviewer: Jacques Franchi (Strasbourg) MSC: 60-01 60H30 60H40 37H99 60H10 37H10 60J65 60G51 PDF BibTeX XML Cite \textit{J. Duan}, An introduction to stochastic dynamics. Cambridge: Cambridge University Press (2015; Zbl 1359.60003)
Farjudian, Amin; Emamizadeh, Behrouz Maximal mean exit time related to the \(p\)-Laplace operator. (English) Zbl 1321.35066 Appl. Math. E-Notes 14, 173-184 (2014). MSC: 35J92 26D07 60J65 PDF BibTeX XML Cite \textit{A. Farjudian} and \textit{B. Emamizadeh}, Appl. Math. E-Notes 14, 173--184 (2014; Zbl 1321.35066) Full Text: EMIS
Li, Yingqiu; Wang, Suxin; Zhou, Xiaowen; Zhu, Na Diffusion occupation time before exiting. (English) Zbl 1308.60093 Front. Math. China 9, No. 4, 843-861 (2014). MSC: 60J60 60J65 60G17 PDF BibTeX XML Cite \textit{Y. Li} et al., Front. Math. China 9, No. 4, 843--861 (2014; Zbl 1308.60093) Full Text: DOI
Allez, Romain; Dumaz, Laure From sine kernel to Poisson statistics. (English) Zbl 1334.60078 Electron. J. Probab. 19, Paper No. 114, 25 p. (2014). MSC: 60G55 60F17 60F05 60B20 60J60 60G17 PDF BibTeX XML Cite \textit{R. Allez} and \textit{L. Dumaz}, Electron. J. Probab. 19, Paper No. 114, 25 p. (2014; Zbl 1334.60078) Full Text: DOI arXiv
Iyer, Gautam; Komorowski, Tomasz; Novikov, Alexei; Ryzhik, Lenya From homogenization to averaging in cellular flows. (English) Zbl 1302.35039 Ann. Inst. Henri Poincaré, Anal. Non Linéaire 31, No. 5, 957-983 (2014). MSC: 35B27 35P05 PDF BibTeX XML Cite \textit{G. Iyer} et al., Ann. Inst. Henri Poincaré, Anal. Non Linéaire 31, No. 5, 957--983 (2014; Zbl 1302.35039) Full Text: DOI arXiv
Budhiraja, Amarjit; Chen, Zhen-Qing On uniform positivity of transition densities of small noise constrained diffusions. (English) Zbl 1329.60276 Electron. Commun. Probab. 19, Paper No. 1, 9 p. (2014). MSC: 60J60 60F10 60J25 93E15 90B15 PDF BibTeX XML Cite \textit{A. Budhiraja} and \textit{Z.-Q. Chen}, Electron. Commun. Probab. 19, Paper No. 1, 9 p. (2014; Zbl 1329.60276) Full Text: DOI arXiv
Berglund, Nils; Gentz, Barbara On the noise-induced passage through an unstable periodic orbit. II: General case. (English) Zbl 1291.60114 SIAM J. Math. Anal. 46, No. 1, 310-352 (2014). MSC: 60H10 34F05 60J05 60F10 PDF BibTeX XML Cite \textit{N. Berglund} and \textit{B. Gentz}, SIAM J. Math. Anal. 46, No. 1, 310--352 (2014; Zbl 1291.60114) Full Text: DOI arXiv
Castell, Fabienne; Guillotin-Plantard, Nadine; Pène, Françoise; Schapira, Bruno On the one-sided exit problem for stable processes in random scenery. (English) Zbl 1329.60356 Electron. Commun. Probab. 18, Paper No. 33, 7 p. (2013). MSC: 60K37 60G51 60G52 60F05 60F17 60G15 60G18 PDF BibTeX XML Cite \textit{F. Castell} et al., Electron. Commun. Probab. 18, Paper No. 33, 7 p. (2013; Zbl 1329.60356) Full Text: DOI
Li, Bin; Zhou, Xiaowen The joint Laplace transforms for diffusion occupation times. (English) Zbl 1370.60136 Adv. Appl. Probab. 45, No. 4, 1049-1067 (2013). MSC: 60J60 60J55 60G51 91B30 PDF BibTeX XML Cite \textit{B. Li} and \textit{X. Zhou}, Adv. Appl. Probab. 45, No. 4, 1049--1067 (2013; Zbl 1370.60136) Full Text: DOI
Berglund, Nils; Gentz, Barbara Sharp estimates for metastable lifetimes in parabolic SPDEs: Kramers law and beyond. (English) Zbl 1285.60060 Electron. J. Probab. 18, Paper No. 24, 58 p. (2013). MSC: 60H15 35K57 60J45 37H20 PDF BibTeX XML Cite \textit{N. Berglund} and \textit{B. Gentz}, Electron. J. Probab. 18, Paper No. 24, 58 p. (2013; Zbl 1285.60060) Full Text: DOI arXiv
Fernández, Lexuri; Hieber, Peter; Scherer, Matthias Double-barrier first-passage times of jump-diffusion processes. (English) Zbl 1410.91446 Monte Carlo Methods Appl. 19, No. 2, 107-141 (2013). MSC: 91G20 60G51 91G60 65Y20 58J65 PDF BibTeX XML Cite \textit{L. Fernández} et al., Monte Carlo Methods Appl. 19, No. 2, 107--141 (2013; Zbl 1410.91446) Full Text: DOI
Aurzada, Frank; Kramm, Tanja First exit of Brownian motion from a one-sided moving boundary. (English) Zbl 1271.60088 Houdré, Christian (ed.) et al., High dimensional probability VI. The Banff volume. Proceedings of the sixth high dimensional probability conference (HDP VI), Banff, Canada, October 9–14, 2011. Basel: Birkhäuser (ISBN 978-3-0348-0489-9/hbk; 978-3-0348-0490-5/ebook). Progress in Probability 66, 213-217 (2013). MSC: 60J65 60G18 PDF BibTeX XML Cite \textit{F. Aurzada} and \textit{T. Kramm}, Prog. Probab. 66, 213--217 (2013; Zbl 1271.60088) Full Text: DOI arXiv
Li, Bin; Tang, Qihe; Zhou, Xiaowen A time-homogeneous diffusion model with tax. (English) Zbl 1271.62246 J. Appl. Probab. 50, No. 1, 195-207 (2013). MSC: 62P05 60J60 60G40 60K15 91B30 PDF BibTeX XML Cite \textit{B. Li} et al., J. Appl. Probab. 50, No. 1, 195--207 (2013; Zbl 1271.62246) Full Text: DOI Euclid
Ryter, Dietrich The exit problem at weak noise, the two-variable quasipotential, and the Kramers problem. (English) Zbl 1257.82090 J. Stat. Phys. 149, No. 6, 1069-1085 (2012). MSC: 82C31 35Q84 60H15 PDF BibTeX XML Cite \textit{D. Ryter}, J. Stat. Phys. 149, No. 6, 1069--1085 (2012; Zbl 1257.82090) Full Text: DOI
Hieber, Peter; Scherer, Matthias A note on first-passage times of continuously time-changed Brownian motion. (English) Zbl 1229.91310 Stat. Probab. Lett. 82, No. 1, 165-172 (2012). MSC: 91G20 60J70 PDF BibTeX XML Cite \textit{P. Hieber} and \textit{M. Scherer}, Stat. Probab. Lett. 82, No. 1, 165--172 (2012; Zbl 1229.91310) Full Text: DOI
Aurzada, Frank On the one-sided exit problem for fractional Brownian motion. (English) Zbl 1244.60042 Electron. Commun. Probab. 16, 392-404 (2011). MSC: 60G22 60G15 60G18 PDF BibTeX XML Cite \textit{F. Aurzada}, Electron. Commun. Probab. 16, 392--404 (2011; Zbl 1244.60042) Full Text: DOI arXiv
Pollak, Moshe; Tartakovsky, Alexander G. On the first exit time of a nonnegative Markov process started at a quasistationary distribution. (English) Zbl 1218.60061 J. Appl. Probab. 48, No. 2, 589-595 (2011). MSC: 60J05 60J20 PDF BibTeX XML Cite \textit{M. Pollak} and \textit{A. G. Tartakovsky}, J. Appl. Probab. 48, No. 2, 589--595 (2011; Zbl 1218.60061) Full Text: DOI arXiv
Bayraktar, Erhan; Song, Qingshuo; Yang, Jie On the continuity of stochastic exit time control problems. (English) Zbl 1211.60012 Stochastic Anal. Appl. 29, No. 1, 48-60 (2011). MSC: 60G20 93E15 PDF BibTeX XML Cite \textit{E. Bayraktar} et al., Stochastic Anal. Appl. 29, No. 1, 48--60 (2011; Zbl 1211.60012) Full Text: DOI arXiv
Baurdoux, E. J. Last exit before an exponential time for spectrally negative Lévy processes. (English) Zbl 1170.60020 J. Appl. Probab. 46, No. 2, 542-558 (2009). MSC: 60G51 91B30 PDF BibTeX XML Cite \textit{E. J. Baurdoux}, J. Appl. Probab. 46, No. 2, 542--558 (2009; Zbl 1170.60020) Full Text: DOI
Ramasubramanian, S. Large deviations: An introduction to 2007 Abel prize. (English) Zbl 1146.60023 Proc. Indian Acad. Sci., Math. Sci. 118, No. 2, 161-182 (2008). MSC: 60F10 PDF BibTeX XML Cite \textit{S. Ramasubramanian}, Proc. Indian Acad. Sci., Math. Sci. 118, No. 2, 161--182 (2008; Zbl 1146.60023) Full Text: DOI
Zhou, Xiaowen Exit problems for spectrally negative Lévy processes reflected at either the supremum or the infimum. (English) Zbl 1132.60042 J. Appl. Probab. 44, No. 4, 1012-1030 (2007). MSC: 60G51 60B15 PDF BibTeX XML Cite \textit{X. Zhou}, J. Appl. Probab. 44, No. 4, 1012--1030 (2007; Zbl 1132.60042) Full Text: DOI Euclid
Albano, G.; Giorno, V. A stochastic model in tumor growth. (English) Zbl 1447.92081 J. Theor. Biol. 242, No. 2, 329-336 (2006). MSC: 92C32 60J60 PDF BibTeX XML Cite \textit{G. Albano} and \textit{V. Giorno}, J. Theor. Biol. 242, No. 2, 329--336 (2006; Zbl 1447.92081) Full Text: DOI
Landis, S.; Bobrovsky, B. Z.; Schuss, Z. The exit problem in a nonlinear system driven by \(1/f\) noise: the delay locked loop. (English) Zbl 1107.34052 SIAM J. Appl. Math. 66, No. 4, 1188-1208 (2006). Reviewer: Volker Wihstutz (Charlotte) MSC: 34F05 93C35 60H10 34E05 34E20 PDF BibTeX XML Cite \textit{S. Landis} et al., SIAM J. Appl. Math. 66, No. 4, 1188--1208 (2006; Zbl 1107.34052) Full Text: DOI
Eckhoff, Michael Precise asymptotics of small eigenvalues of reversible diffusions in the metastable regime. (English) Zbl 1098.60079 Ann. Probab. 33, No. 1, 244-299 (2005). MSC: 60J60 31C05 31C15 35P15 35P20 35R60 58J65 60F10 PDF BibTeX XML Cite \textit{M. Eckhoff}, Ann. Probab. 33, No. 1, 244--299 (2005; Zbl 1098.60079) Full Text: DOI arXiv
Delmas, Jean-François; Vogt, Pascal Non-linear Neumann’s condition for the heat equation: a probabilistic representation using catalytic super-Brownian motion. (English) Zbl 1077.60038 Ann. Inst. Henri Poincaré, Probab. Stat. 41, No. 5, 817-849 (2005). Reviewer: Isamu Dôku (Saitama) MSC: 60G57 60J55 60J80 60H30 35C15 35J65 PDF BibTeX XML Cite \textit{J.-F. Delmas} and \textit{P. Vogt}, Ann. Inst. Henri Poincaré, Probab. Stat. 41, No. 5, 817--849 (2005; Zbl 1077.60038) Full Text: DOI Numdam EuDML
Sinestrari, Carlo Semiconcavity of the value function for exit time problems with nonsmooth target. (English) Zbl 1064.49024 Commun. Pure Appl. Anal. 3, No. 4, 757-774 (2004). Reviewer: Ştefan Mirică (Bucureşti) MSC: 49L20 49L25 35D10 26B25 PDF BibTeX XML Cite \textit{C. Sinestrari}, Commun. Pure Appl. Anal. 3, No. 4, 757--774 (2004; Zbl 1064.49024) Full Text: DOI
Berglund, Nils; Gentz, Barbara On the noise-induced passage through an unstable periodic orbit. I: Two-level model. (English) Zbl 1072.82018 J. Stat. Phys. 114, No. 5-6, 1577-1618 (2004). MSC: 82C05 37H99 60K10 PDF BibTeX XML Cite \textit{N. Berglund} and \textit{B. Gentz}, J. Stat. Phys. 114, No. 5--6, 1577--1618 (2004; Zbl 1072.82018) Full Text: DOI arXiv
Stein, D. L. Critical behavior of the Kramers escape rate in asymmetric classical field theories. (English) Zbl 1072.82542 J. Stat. Phys. 114, No. 5-6, 1537-1556 (2004). MSC: 82C31 PDF BibTeX XML Cite \textit{D. L. Stein}, J. Stat. Phys. 114, No. 5--6, 1537--1556 (2004; Zbl 1072.82542) Full Text: DOI
DeBlassie, R. Dante Iterated Brownian motion in an open set. (English) Zbl 1051.60082 Ann. Appl. Probab. 14, No. 3, 1529-1558 (2004). Reviewer: Piotr Garbaczewski (Zielona Góra) MSC: 60J65 60H30 60K37 82C31 PDF BibTeX XML Cite \textit{R. D. DeBlassie}, Ann. Appl. Probab. 14, No. 3, 1529--1558 (2004; Zbl 1051.60082) Full Text: DOI arXiv
Abraham, Romain; Delmas, Jean-François Solutions of \(\Delta u=4u^2\) with Neumann’s conditions using the Brownian snake. (English) Zbl 1054.60081 Probab. Theory Relat. Fields 128, No. 4, 475-516 (2004). Reviewer: Mihai Gradinaru (Nancy) MSC: 60J55 60J80 60H30 60G57 35C15 35J65 PDF BibTeX XML Cite \textit{R. Abraham} and \textit{J.-F. Delmas}, Probab. Theory Relat. Fields 128, No. 4, 475--516 (2004; Zbl 1054.60081) Full Text: DOI
Kolokoltsov, Vassili N. On Markov processes with decomposable pseudo-differential generators. (English) Zbl 1091.60014 Stochastics Stochastics Rep. 76, No. 1, 1-44 (2004). MSC: 60J25 60J50 60J75 PDF BibTeX XML Cite \textit{V. N. Kolokoltsov}, Stochastics Stochastics Rep. 76, No. 1, 1--44 (2004; Zbl 1091.60014) Full Text: DOI
Gasanenko, Vitalii A. On asymptotic independence of the exit moment and position from a small domain for diffusion processes. (English) Zbl 1030.60072 Cent. Eur. J. Math. 1, No. 1, 86-96 (2003). Reviewer: Shizan Fang (Dijon) MSC: 60J60 35K50 PDF BibTeX XML Cite \textit{V. A. Gasanenko}, Cent. Eur. J. Math. 1, No. 1, 86--96 (2003; Zbl 1030.60072) Full Text: DOI Link
Helmes, Kurt Numerical methods for optimal stopping using linear and nonlinear programming. (English) Zbl 1036.60033 Pasik-Duncan, Bozenna (ed.), Stochastic theory and control. Proceedings of the workshop, Lawrence, KS, USA, October 18–20, 2001. Berlin: Springer (ISBN 3-540-43777-0/pbk). Lect. Notes Control Inf. Sci. 280, 185-203 (2002). Reviewer: Peter Neumann (Dresden) MSC: 60G40 90C05 90C30 65C20 PDF BibTeX XML Cite \textit{K. Helmes}, Lect. Notes Control Inf. Sci. 280, 185--203 (2002; Zbl 1036.60033)
Lotov, V. I. On the sequential hypothesis testing when the distribution supports do not coincide. (Russian) Zbl 1014.62096 Vestn. Novosib. Gos. Univ., Ser. Mat. Mekh. Inform. 2, No. 2, 50-54 (2002). Reviewer: D.A.Korshunov (Novosibirsk) MSC: 62L10 62F03 PDF BibTeX XML Cite \textit{V. I. Lotov}, Vestn. Novosib. Gos. Univ., Ser. Mat. Mekh. Inform. 2, No. 2, 50--54 (2002; Zbl 1014.62096) Full Text: Link
Schuss, Z.; Spivak, A. The exit distribution on the stochastic separatrix in Kramers’ exit problem. (English) Zbl 1007.60056 SIAM J. Appl. Math. 62, No. 5, 1698-1711 (2002). Reviewer: Stanisław Wedrychowicz (Rzeszów) MSC: 60H10 82C31 46N55 47N55 PDF BibTeX XML Cite \textit{Z. Schuss} and \textit{A. Spivak}, SIAM J. Appl. Math. 62, No. 5, 1698--1711 (2002; Zbl 1007.60056) Full Text: DOI
Motta, M.; Sartori, C. Semicontinuous viscosity solutions to mixed boundary value problems with degenerate convex Hamiltonians. (English) Zbl 1006.35024 Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 49, No. 7, 905-927 (2002). Reviewer: Messoud Efendiev (Berlin) MSC: 35F30 49L25 PDF BibTeX XML Cite \textit{M. Motta} and \textit{C. Sartori}, Nonlinear Anal., Theory Methods Appl., Ser. A, Theory Methods 49, No. 7, 905--927 (2002; Zbl 1006.35024) Full Text: DOI
Malisoff, Michael Viscosity solutions of the Bellman equation for exit time optimal control problems with non-Lipschitz dynamics. (English) Zbl 1006.49023 ESAIM, Control Optim. Calc. Var. 6, 415-441 (2001). MSC: 49L25 93C20 49L20 35B37 PDF BibTeX XML Cite \textit{M. Malisoff}, ESAIM, Control Optim. Calc. Var. 6, 415--441 (2001; Zbl 1006.49023) Full Text: DOI Numdam EuDML
Gasanenko, V. A. A total expansion of functional of exit time from a small ball for diffusion process. (English) Zbl 1420.60069 İstatistik 3, No. 3, 83-91 (2000). MSC: 60H10 PDF BibTeX XML Cite \textit{V. A. Gasanenko}, İstatistik 3, No. 3, 83--91 (2000; Zbl 1420.60069) Full Text: Link
Cannarsa, Piermarco; Pignotti, Cristina; Sinestrari, Carlo Semiconcavity for optimal control problems with exit time. (English) Zbl 1009.49024 Discrete Contin. Dyn. Syst. 6, No. 4, 975-997 (2000). MSC: 49L20 49K40 PDF BibTeX XML Cite \textit{P. Cannarsa} et al., Discrete Contin. Dyn. Syst. 6, No. 4, 975--997 (2000; Zbl 1009.49024) Full Text: DOI
Ye, J. J. Discontinuous solutions of the Hamilton-Jacobi equation for exit time problems. (English) Zbl 0969.49011 SIAM J. Control Optimization 38, No. 4, 1067-1085 (2000). Reviewer: Ştefan Mirică (Bucureşti) MSC: 49L20 PDF BibTeX XML Cite \textit{J. J. Ye}, SIAM J. Control Optim. 38, No. 4, 1067--1085 (2000; Zbl 0969.49011) Full Text: DOI
Lotov, V. I. On hitting the high level by a random walk with delay at the origin. (English. Russian original) Zbl 0945.60067 Sib. Math. J. 40, No. 6, 1276-1288 (1999); translation from Sib. Mat. Zh. 40, No. 6, 1079-1090 (1999). Reviewer: D.A.Korshunov (Novosibirsk) MSC: 60J50 PDF BibTeX XML Cite \textit{V. I. Lotov}, Sib. Math. J. 40, No. 6, 1079--1090 (1999; Zbl 0945.60067); translation from Sib. Mat. Zh. 40, No. 6, 1079--1090 (1999) Full Text: DOI
Lotov, V. I. Limit theorems in a boundary crossing problem for random walks. (English. Russian original) Zbl 0945.60066 Sib. Math. J. 40, No. 5, 1095-1108 (1999); translation from Sib. Mat. Zh. 40, No. 5, 925-937 (1999). Reviewer: D.A.Korshunov (Novosibirsk) MSC: 60J50 60G50 PDF BibTeX XML Cite \textit{V. I. Lotov}, Sib. Math. J. 40, No. 5, 925--937 (1999; Zbl 0945.60066); translation from Sib. Mat. Zh. 40, No. 5, 925--937 (1999) Full Text: DOI
Lotov, V. I.; Khodzhibaev, V. R. On limit theorems for the first exit time from an interval for stochastic processes. II. (Russian) Zbl 0937.60042 Mat. Tr. 2, No. 1, 121-139 (1999). Reviewer: D.A.Korshunov (Novosibirsk) MSC: 60G51 62E10 PDF BibTeX XML Cite \textit{V. I. Lotov} and \textit{V. R. Khodzhibaev}, Mat. Tr. 2, No. 1, 121--139 (1999; Zbl 0937.60042)
Khodzhibaev, V. R. Asymptotic representations for characteristics of exit from an interval for stochastic processes with independent increments. (Russian) Zbl 0944.60048 Mat. Tr. 1, No. 1, 116-128 (1998). MSC: 60G51 62E10 PDF BibTeX XML Cite \textit{V. R. Khodzhibaev}, Mat. Tr. 1, No. 1, 116--128 (1998; Zbl 0944.60048)
Khodzhibaev, V. R.; Lotov, V. I. On limit theorems for first exit time from an interval for stochastic processes. I. (Russian) Zbl 0922.60071 Mat. Tr. 1, No. 2, 111-134 (1998). Reviewer: D.A.Korshunov (Novosibirsk) MSC: 60J99 62E10 PDF BibTeX XML Cite \textit{V. R. Khodzhibaev} and \textit{V. I. Lotov}, Mat. Tr. 1, No. 2, 111--134 (1998; Zbl 0922.60071)
Bagagiolo, Fabio; Bardi, Martino Singular perturbation of a finite horizon problem with state-space constraints. (English) Zbl 0953.49031 SIAM J. Control Optimization 36, No. 6, 2040-2060 (1998). Reviewer: N.Subbotina (Sverdlovsk) MSC: 49L25 93C73 35F25 35F30 49L20 PDF BibTeX XML Cite \textit{F. Bagagiolo} and \textit{M. Bardi}, SIAM J. Control Optim. 36, No. 6, 2040--2060 (1998; Zbl 0953.49031) Full Text: DOI
Khodzhibaev, V. R. Asymptotic representations for characteristics of exit from an interval for stochastic processes with independent increments. (English) Zbl 0946.60049 Sib. Adv. Math. 7, No. 3, 75-86 (1997). Reviewer: D.A.Korshunov (Novosibirsk) MSC: 60G51 62E10 PDF BibTeX XML Cite \textit{V. R. Khodzhibaev}, Sib. Adv. Math. 7, No. 3, 75--86 (1997; Zbl 0946.60049)
Shirakawa, Hiroshi Evaluation of investment opportunity under entry and exit decisions. (English) Zbl 0936.91033 RIMS Kokyuroku 987, 107-124 (1997). MSC: 91B28 60G40 60J65 PDF BibTeX XML Cite \textit{H. Shirakawa}, RIMS Kokyuroku 987, 107--124 (1997; Zbl 0936.91033)
Borovkov, A. A. An asymptotic exit problem for multidimensional Markov chains. (English) Zbl 0910.60051 Markov Process. Relat. Fields 3, No. 4, 547-564 (1997). Reviewer: G.Högnäs (Åbo) MSC: 60J05 60J10 PDF BibTeX XML Cite \textit{A. A. Borovkov}, Markov Process. Relat. Fields 3, No. 4, 547--564 (1997; Zbl 0910.60051)
Maier, Robert S.; Stein, Daniel L. Limiting exit location distributions in the stochastic exit problem. (English) Zbl 0874.60072 SIAM J. Appl. Math. 57, No. 3, 752-790 (1997). MSC: 60J60 35B25 34E20 PDF BibTeX XML Cite \textit{R. S. Maier} and \textit{D. L. Stein}, SIAM J. Appl. Math. 57, No. 3, 752--790 (1997; Zbl 0874.60072) Full Text: DOI
Miclo, Laurent On discrete inhomogeneous exit problems. (Sur les problèmes de sortie discrets inhomogènes.) (French) Zbl 0870.60062 Ann. Appl. Probab. 6, No. 4, 1112-1156 (1996). MSC: 60J05 60F10 60J35 PDF BibTeX XML Cite \textit{L. Miclo}, Ann. Appl. Probab. 6, No. 4, 1112--1156 (1996; Zbl 0870.60062) Full Text: DOI
Moshchuk, N. K.; Ibrahim, R. A.; Khasminskii, R. Z.; Chow, P. L. Asymptotic expansion of ship capsizing in random sea waves. I: First-order approximation. II: Second-order approximation. (English) Zbl 0886.76017 Int. J. Non-Linear Mech. 30, No. 5, 727-757 (1995). Reviewer: T.Petrila (Cluj-Napoca) MSC: 76B15 76M35 76B20 60H30 PDF BibTeX XML Cite \textit{N. K. Moshchuk} et al., Int. J. Non-Linear Mech. 30, No. 5, 727--757 (1995; Zbl 0886.76017) Full Text: DOI
Capuzzo Dolcetta, I. Invariant measures and applications. (English) Zbl 0844.60045 Marino, Antonio (ed.) et al., Nonlinear variational problems and partial differential equations. Proceedings of the 3rd conference held in the autumn of 1990 at Isola d’Elba, Italy. Harlow: Longman Scientific & Technical. Pitman Res. Notes Math. Ser. 320, 85-94 (1995). Reviewer: L.Popa (Iaşi) MSC: 60J35 60J60 PDF BibTeX XML Cite \textit{I. Capuzzo Dolcetta}, in: Nonlinear variational problems and partial differential equations. Proceedings of the 3rd conference held in the autumn of 1990 at Isola d'Elba, Italy. Harlow: Longman Scientific \& Technical; New York, NY: Wiley. 85--94 (1995; Zbl 0844.60045)
Morimoto, Hiroaki Perturbation methods in optimal stopping with average cost criterion. (English) Zbl 0828.62073 Stochastics Stochastics Rep. 47, No. 3-4, 229-245 (1994). Reviewer: K.Wickwire (Bedford) MSC: 62L15 60G40 PDF BibTeX XML Cite \textit{H. Morimoto}, Stochastics Stochastics Rep. 47, No. 3--4, 229--245 (1994; Zbl 0828.62073) Full Text: DOI
Syski, Ryszard Passage times for Markov chains. (English) Zbl 0804.60065 Studies in Probability, Optimization and Statistics. 1. Amsterdam: IOS Press. VII, 550 p. Dfl. 180.00 /hc (1992). Reviewer: S.Asmussen (Aalborg) MSC: 60J45 60-02 60J05 60J25 PDF BibTeX XML Cite \textit{R. Syski}, Passage times for Markov chains. Amsterdam: IOS Press (1992; Zbl 0804.60065)
Tataru, Daniel Boundary value problems for first order Hamilton-Jacobi equations. (English) Zbl 0822.35026 Nonlinear Anal., Theory Methods Appl. 19, No. 11, 1091-1110 (1992). Reviewer: S.Aizicovici (Athens / Ohio) MSC: 35F30 91A23 PDF BibTeX XML Cite \textit{D. Tataru}, Nonlinear Anal., Theory Methods Appl. 19, No. 11, 1091--1110 (1992; Zbl 0822.35026) Full Text: DOI
Ragimov, F. G. Asymptotic expansion for the distribution of nonlinear boundary crossing time. (English. Russian original) Zbl 0783.60048 Theory Probab. Appl. 37, No. 3, 560-564 (1992); translation from Teor. Veroyatn. Primen. 37, No. 3, 580-583 (1992). Reviewer: V.Lotov (Novosibirsk) MSC: 60G50 60G40 60E99 PDF BibTeX XML Cite \textit{F. G. Ragimov}, Theory Probab. Appl. 37, No. 3, 560--564 (1992; Zbl 0783.60048); translation from Teor. Veroyatn. Primen. 37, No. 3, 580--583 (1992) Full Text: DOI
Doss, Halim; Stroock, Daniel W. Nouveaux résultats concernant les petites perturbations de systèmes dynamiques. (New results concerning small perturbations of dynamical systems). (French) Zbl 0736.60050 J. Funct. Anal. 101, No. 2, 370-391 (1991). MSC: 60H10 60F10 34F05 PDF BibTeX XML Cite \textit{H. Doss} and \textit{D. W. Stroock}, J. Funct. Anal. 101, No. 2, 370--391 (1991; Zbl 0736.60050) Full Text: DOI
Novikov, A. A. On the first passage time of an autoregressive process over a level and an application to a “disorder” problem. (English. Russian original) Zbl 0723.60044 Theory Probab. Appl. 35, No. 2, 269-279 (1990); translation from Teor. Veroyatn. Primen. 35, No. 2, 282-292 (1990). MSC: 60G40 PDF BibTeX XML Cite \textit{A. A. Novikov}, Theory Probab. Appl. 35, No. 2, 269--279 (1990; Zbl 0723.60044); translation from Teor. Veroyatn. Primen. 35, No. 2, 282--292 (1990) Full Text: DOI
Novikov, A. A. The first exit time of the autoregressive process beyond a level and an application to the disorder problem. (Russian) Zbl 0702.60048 Teor. Veroyatn. Primen. 35, No. 2, 282-292 (1990). Reviewer: F.Liese MSC: 60G40 PDF BibTeX XML Cite \textit{A. A. Novikov}, Teor. Veroyatn. Primen. 35, No. 2, 282--292 (1990; Zbl 0702.60048)
Siegrist, Kyle n-point, win-by-k games. (English) Zbl 0695.60015 J. Appl. Probab. 26, No. 4, 807-814 (1989). Reviewer: T.Móri MSC: 60C05 PDF BibTeX XML Cite \textit{K. Siegrist}, J. Appl. Probab. 26, No. 4, 807--814 (1989; Zbl 0695.60015) Full Text: DOI
Day, Martin V. Boundary local time and small parameter exit problems with characteristic boundaries. (English) Zbl 0677.60060 SIAM J. Math. Anal. 20, No. 1, 222-248 (1989). Reviewer: T.C.Gard MSC: 60H10 60J55 60J60 PDF BibTeX XML Cite \textit{M. V. Day}, SIAM J. Math. Anal. 20, No. 1, 222--248 (1989; Zbl 0677.60060) Full Text: DOI
Barles, G.; Perthame, B. Discontinuous solutions of deterministic optimal stopping time problems. (English) Zbl 0629.49017 RAIRO, Modélisation Math. Anal. Numér. 21, 557-579 (1987). Reviewer: E.Barron MSC: 49L20 35F20 49J40 60G40 35D05 49J45 PDF BibTeX XML Cite \textit{G. Barles} and \textit{B. Perthame}, RAIRO, Modélisation Math. Anal. Numér. 21, 557--579 (1987; Zbl 0629.49017) Full Text: DOI EuDML
Dokuchaev, N. G. On first exit times for homogeneous diffusion processes. (English. Russian original) Zbl 0623.60101 Theory Probab. Appl. 31, 497-498 (1987); translation from Teor. Veroyatn. Primen. 31, No. 3, 565-566 (1986). Reviewer: Ge Yubo MSC: 60J60 60H10 PDF BibTeX XML Cite \textit{N. G. Dokuchaev}, Theory Probab. Appl. 31, 497--498 (1987; Zbl 0623.60101); translation from Teor. Veroyatn. Primen. 31, No. 3, 565--566 (1986) Full Text: DOI
Chung, K. L.; Zhao, Zhongxin Some probabilistic results on the Sturm-Liouville equation. (English) Zbl 0591.60075 J. Syst. Sci. Math. Sci. 4, No. 4, 320-324 (1984). Reviewer: M.Breger MSC: 60J65 34L99 60J55 PDF BibTeX XML Cite \textit{K. L. Chung} and \textit{Z. Zhao}, J. Syst. Sci. Math. Sci. 4, No. 4, 320--324 (1984; Zbl 0591.60075)
Tuckwell, Henry C.; Wan, Frederic Y. M.; Wong, Yau Shu The interspike interval of a cable model neuron with white noise input. (English) Zbl 0553.92010 Biol. Cybern. 49, 155-167 (1984). Reviewer: P.Lánský MSC: 92Cxx 65Z05 60J70 60H15 PDF BibTeX XML Cite \textit{H. C. Tuckwell} et al., Biol. Cybern. 49, 155--167 (1984; Zbl 0553.92010) Full Text: DOI
Matkowsky, B. J.; Schuss, Z. Diffusion across characteristic boundaries. (English) Zbl 0495.60078 SIAM J. Appl. Math. 42, 822-834 (1982). MSC: 60J60 60H10 58J65 81V99 PDF BibTeX XML Cite \textit{B. J. Matkowsky} and \textit{Z. Schuss}, SIAM J. Appl. Math. 42, 822--834 (1982; Zbl 0495.60078) Full Text: DOI
Kelley, C. T. Approximation of solutions of some quadratic integral equations in transport theory. (English) Zbl 0495.45010 J. Integral Equations 4, 221-237 (1982). MSC: 45H05 45L05 45G10 82C70 85A25 PDF BibTeX XML Cite \textit{C. T. Kelley}, J. Integral Equations 4, 221--237 (1982; Zbl 0495.45010)
Matkowsky, B. J.; Schuss, Z.; Ben-Jacob, E. A singular perturbation approach to Kramers’ diffusion problem. (English) Zbl 0494.76090 SIAM J. Appl. Math. 42, 835-849 (1982). MSC: 76R99 58J65 81V99 PDF BibTeX XML Cite \textit{B. J. Matkowsky} et al., SIAM J. Appl. Math. 42, 835--849 (1982; Zbl 0494.76090) Full Text: DOI
Kifer, Yuri The exit problem for small random perturbations of dynamical systems with a hyperbolic fixed point. (English) Zbl 0473.60067 Isr. J. Math. 40, 74-96 (1981). MSC: 60J60 35B25 60H10 PDF BibTeX XML Cite \textit{Y. Kifer}, Isr. J. Math. 40, 74--96 (1981; Zbl 0473.60067) Full Text: DOI
Karr, A. F.; Pittenger, A. O. The inverse balayage problem for Markov chains, part II. (English) Zbl 0406.60063 Stochastic Processes Appl. 9, 35-53 (1979). MSC: 60J10 60G50 60J45 60G40 60J50 PDF BibTeX XML Cite \textit{A. F. Karr} and \textit{A. O. Pittenger}, Stochastic Processes Appl. 9, 35--53 (1979; Zbl 0406.60063) Full Text: DOI