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On Nambu's boundary stabilizability problem for diffusion processes

โœ Scribed by Roberto Triggiani


Book ID
103172462
Publisher
Elsevier Science
Year
1979
Tongue
English
Weight
592 KB
Volume
33
Category
Article
ISSN
0022-0396

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โœ Changsun Choi; Dougu Nam ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 228 KB

We evaluate some boundary-crossing time density functions for time-changed Brownian motion. As examples, we evaluate the รฟrst passage time densities of Ornstein-Uhlenbeck process to exponential boundaries and Brownian bridge to two linearly shrinking boundaries. We also evaluate explicitly the รฟrst