Large deviation approaches for the numerical computation of the hitting probability for Gaussian processes (Q2516390): Difference between revisions

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+https://doi.org/10.1007/s11009-013-9364-5
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+W2080043144
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+Q3796553
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+Exact asymptotics for the probability of exit from a domain and applications to simulation
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+Asymptotics of hitting probabilities for general one-dimensional pinned diffusions
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+Pricing General Barrier Options: A Numerical Approach Using Sharp Large Deviations
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+Explicit computation of second order moments of importance sampling estimators for fractional Brownian motion
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+Connecting discrete and continuous path-dependent options
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+Sharp estimates for the hitting probability on time-dependent barriers for a Brownian Motion. Weak approximation of a Brownian motion killed on time-dependent barriers
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+Large deviation estimates of the crossing probability for pinned Gaussian processes
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+Weak approximation of killed diffusion using Euler schemes.
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+Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme
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+Large deviations of infinite intersections of events in Gaussian processes
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+Small values of the maximum for the integral of fractional Brownian motion
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