9 citations · 25 across the 11 of their papers we have counts for
Showing 2012Show all
2 papers · 1 filter
math.PR2012★ 3 cited
On the first time that an Ito process hits a barrier
Gerardo Hernandez-del-Valle
This work deals with first hitting time densities of Ito processes whose local drift can be modeled in terms of a solution to Burgers equation. In particular, we derive the densiti…
math.PR2012★ 9 cited
On hitting times, Bessel bridges, and Schrodinger's equation
Gerardo Hernandez-del-Valle
In this paper we establish relationships between four important concepts: (a) hitting time problems of Brownian motion, (b) 3-dimensional Bessel bridges, (c) Schrödinger's equation…