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2012

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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/50787

First-passage and escape problems in the Feller process

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http://dx.doi.org/10.1103/PhysRevE.86.041116

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 have long been well known, 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.

Subject

Física matemàtica, Processos estocàstics, Mercat financer

Subject (English)

Mathematical physics, Stochastic processes, Financial market

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Articles publicats en revistes (Física de la Matèria Condensada)

Citation

MASOLIVER, Jaume and PERELLÓ, Josep. First-passage and escape problems in the Feller process. Physical Review E. 2012. Vol. 86, num. 041116-1-041116-12. ISSN 1539-3755. [consulted: 15 of June of 2026]. Available at: https://hdl.handle.net/2445/50787

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