First Passage Densities and Boundary Crossing Probabilities for Diffusion Processes
| dc.creator | Downes, A. N. | |
| dc.creator | Borovkov, K. | |
| dc.date | 2007-08-27 | |
| dc.date.accessioned | 2026-07-07T08:25:49Z | |
| dc.date.available | 2026-07-07T08:25:49Z | |
| dc.description | We consider the boundary crossing problem for time-homogeneous diffusions and general curvilinear boundaries. Bounds are derived for the approximation error of the one-sided (upper) boundary crossing probability when replacing the original boundary by a different one. In doing so we establish the existence of the first-passage time density and provide an upper bound for this function. In the case of processes with diffusion interval equal to whole real line this is extended to a lower bound, as well as bounds for the first crossing time of a lower boundary. An extension to some time-inhomogeneous diffusions is given. These results are illustrated by numerical examples. | |
| dc.description | 27 pages, 3 figures | |
| dc.identifier | https://arxiv.org/abs/0708.3562 | |
| dc.identifier | http://arxiv.org/abs/0708.3562 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/136749 | |
| dc.subject | Probability | |
| dc.subject | 60J60; 60J70 | |
| dc.title | First Passage Densities and Boundary Crossing Probabilities for Diffusion Processes | |
| dc.type | text |