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First-passage and escape problems in the Feller process
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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.
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MASOLIVER, Jaume, PERELLÓ, Josep. First-passage and escape problems in the Feller process. _Physical Review E_. 2012. Vol. 86, núm. 041116-1-041116-12. [consulta: 25 de gener de 2026]. ISSN: 1539-3755. [Disponible a: https://hdl.handle.net/2445/50787]