Antonio Di Crescenzo, Virginia Giorno, Amelia G. Nobile, Serena Spina
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First-exit-time problems for two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses
We study the first-exit-time problem for the two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses which run according to specific rules depending on the processes. ...