Stochastic processes and moving boundaries

• Applicant: Professor Dr. Vitali Wachtel
• Subject Area: Mathematics
• Term: from 2020 to 2024
• Project identifier: Deutsche Forschungsgemeinschaft (DFG) - Project number 429723931

In this project we plan to study first-passage times over moving boundaries for standard and continuous-time random walks. We shall concentrate primerly on the case of the square-root boundaries, which is poorely studied in the literature. Furthermore, we plan to investigate the asymptotic behaviour of random walks conditioned on non-crossing the boundary.

• DFG Programme: Research Grants
• International Connection: Russia
• Partner Organisation: Russian Foundation for Basic Research, until 3/2022
• Cooperation Partner: Professor Dr. Alexandr Sakhanenko, until 3/2022