First-passage and escape problems in the Feller process
Mathematical Physics
2015-06-11 v1 math.MP
Biological Physics
Data Analysis, Statistics and Probability
Physics and Society
Abstract
The Feller process is an one-dimensional diffusion process with linear drift and state-dependent diffusion coefficient vanishing at the origin. The process is positive definite and it is this property along with its linear character that have made Feller process a convenient candidate for the modeling of a number of phenomena ranging from single neuron firing to volatility of financial assets. While general properties of the process are well known since long, less known are properties related to level crossing such as the first-passage and the escape problems. In this work we thoroughly address these questions.
Cite
@article{arxiv.1209.2909,
title = {First-passage and escape problems in the Feller process},
author = {Jaume Masoliver and Josep Perelló},
journal= {arXiv preprint arXiv:1209.2909},
year = {2015}
}
Comments
30 pages, 3 figures