title: First-passage and escape problems in the Feller process.
abstract: 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.
authors.affiliation: Departament de Física Fonamental, Universitat de Barcelona, Diagonal, 647, E-08028 Barcelona, Spain. jaume.masoliver@ub.edu
authors.forename: Jaume
authors.initials: J
authors.lastname: Masoliver
authors.forename: Josep
authors.initials: J
authors.lastname: Perelló
mesh_terms: D000465:Algorithms; D001703:Biophysics / Q000379:methods*; D004058:Diffusion; D017753:Ecosystem; D005381:Financing, Organized; D008564:Membrane Potentials / Q000502:physiology; D008959:Models, Neurological; D015233:Models, Statistical; D008962:Models, Theoretical; D009474:Neurons / Q000502:physiology*; D011336:Probability