The Level-Crossing Problem: First-Passage, Escape and Extremes

摘要

We review the level-crossing problem which includes the first-passage and escape problems as well as the theory of extreme values (the maximum, the minimum, the maximum absolute value and the range or span). We set the definitions and general results and apply them to one-dimensional diffusion processes with explicit results for the Brownian motion and the Ornstein-Uhlenbeck (OU) process.