Last-Passage Time for Linear Diffusions and Application to the Emptying Time of a Box
Alain Comtet, Françoise Cornu, Grégory Schehr
Topics & Concepts
MathematicsLaplace transformLimit (mathematics)Brownian motionStatistical physicsScalingMathematical analysisProbability density functionInterval (graph theory)Constant (computer programming)Operator (biology)Gumbel distributionApplied mathematicsEigenfunctionProbability theoryTRACE (psycholinguistics)Fractional Brownian motionExtreme value theoryLinear mapLarge deviations theoryStochastic processBrownian excursionFirst-hitting-time modelProbability and statisticsStatistical mechanicsScaling limitDiffusionAbsolute continuityLaplace operatorDensity estimationstochastic dynamics and bifurcationDiffusion and Search DynamicsFractional Differential Equations Solutions