Asymptotics of hitting probabilities for general one-dimensional pinned diffusions

DOI10.1214/aoap/1031863181zbMath1015.60023OpenAlexW2033212310MaRDI QIDQ1872370

Paolo Baldi, Lucia Caramellino

Publication date: 6 May 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1031863181

zbMATH Keywords

conditioned diffusionsexit time probabilitiessharp large deviation estimates

Mathematics Subject Classification ID

Diffusion processes (60J60) Large deviations (60F10)

Related Items

Fluctuations of bridges, reciprocal characteristics and concentration of measure, The First-passage Time of the Brownian Motion to a Curved Boundary: an Algorithmic Approach, A new firing paradigm for integrate and fire stochastic neuronal models, Implied Volatility from Local Volatility: A Path Integral Approach, Stochastic Integrate and Fire Models: A Review on Mathematical Methods and Their Applications, Asymptotic Equivalence Between Boundary Perturbations and Discrete Exit Times: Application to Simulation Schemes, Cooperative behavior in a jump diffusion model for a simple network of spiking neurons, First passage densities and boundary crossing probabilities for diffusion processes, Asymptotics for the survival probability of time-inhomogeneous diffusion processes, Multiresolution Hilbert approach to multidimensional Gauss-Markov processes, On Markov chain approximations for computing boundary crossing probabilities of diffusion processes, Large deviation estimates of the crossing probability for pinned Gaussian processes, Dynamics and spike trains statistics in conductance-based integrate-and-fire neural networks with chemical and electric synapses, Estimation in Discretely Observed Diffusions Killed at a Threshold, Simulation of stopped diffusions, Dynamic Markov bridges motivated by models of insider trading, Binomial approximation of Brownian motion and its maximum, On boundary crossing probabilities for diffusion processes, On Sharp Large Deviations for the Bridge of a General Diffusion, Large deviation approaches for the numerical computation of the hitting probability for Gaussian processes, Bounds for the transition density of time-homogeneous diffusion processes, Large deviations of conditioned diffusions and applications, Large deviations for generalized conditioned Gaussian processes and their bridges, Exact simulation of the first-passage time of diffusions, Computation of Multivariate Barrier Crossing Probability and its Applications in Credit Risk Models