Explicit asymptotics on first passage times of diffusion processes
From MaRDI portal
Abstract: We introduce a unified framework for solving first passage times of time-homogeneous diffusion processes. According to the killed version potential theory and the perturbation theory, we are able to deduce closed-form solutions for probability densities of single-sided level crossing problem. The framework is applicable to diffusion processes with continuous drift functions, and a recursive system in the frequency domain has been provided. Besides, we derive a probabilistic representation for error estimation. The representation can be used to evaluate deviations in perturbed density functions. In the present paper, we apply the framework to Ornstein-Uhlenbeck and Bessel processes to find closed-form approximations for their first passage times; another successful application is given by the exponential-Shiryaev process. Numerical results are provided at the end of this paper.
Recommendations
- On the asymptotic behaviour of first passage times for diffusions
- Asymptotics for diffusion first-passage laws
- Asymptotic results for first-passage times of some exponential processes
- scientific article; zbMATH DE number 755592
- scientific article; zbMATH DE number 3236498
- On the construction of first-passage-time densities for diffusion processes
- Asymptotic expansions for first passage times
- On First Exit Times for Homogeneous Diffusion Processes
- On the asymptotic behaviour of first-passage-time densities for one-dimensional diffusion processes and varying boundaries
Cites work
- 'Normal' distribution functions on spheres and the modified Bessel functions
- A clarification note about hitting times densities for Ornstein-Uhlenbeck processes
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A guide to first-passage processes
- A jump to default extended CEV model: an application of Bessel processes
- A unified framework for numerically inverting Laplace transforms
- An equilibrium characterization of the term structure
- Azéma martingales for Bessel and CIR processes and the pricing of Parisian zero‐coupon bonds
- Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation
- Eigenvalue expansions for diffusion hitting times
- Hitting and martingale characterizations of one-dimensional diffusions
- scientific article; zbMATH DE number 1724306 (Why is no real title available?)
- scientific article; zbMATH DE number 1817636 (Why is no real title available?)
- scientific article; zbMATH DE number 5016447 (Why is no real title available?)
- scientific article; zbMATH DE number 3178062 (Why is no real title available?)
- scientific article; zbMATH DE number 3736751 (Why is no real title available?)
- scientific article; zbMATH DE number 3780265 (Why is no real title available?)
- scientific article; zbMATH DE number 2062298 (Why is no real title available?)
- scientific article; zbMATH DE number 2150787 (Why is no real title available?)
- scientific article; zbMATH DE number 1369679 (Why is no real title available?)
- scientific article; zbMATH DE number 3088518 (Why is no real title available?)
- Hypergeometric diffusion
- Level-crossing problems for random processes
- Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
- NIST digital library of mathematical functions
- NIST handbook of mathematical functions
- On the comparison of Feller and Ornstein-Uhlenbeck models for neural activity
- On the First Passage Time Probability Problem
- On the fundamental solution of the Kolmogorov-Shiryaev equation
- On the Theory of the Brownian Motion II
- Perturbed Brownian motion and its application to Parisian option pricing
- Pricing general barrier options: a numerical approach using sharp large deviations
- Recursive formula for the double-barrier Parisian stopping time
- Representations of the First Hitting Time Density of an Ornstein-Uhlenbeck Process1
- Some probabilistic properties of Bessel functions
- The Bessel motion and a singular integral equation
- The joint distribution of Parisian and hitting times of Brownian motion with application to Parisian option pricing
- The probability distributions of the first hitting times of Bessel processes
- The spectral decomposition of a diffusion hitting time
Cited in
(11)- Passage time statistics in exponential distributed time-delay models: noisy asymptotic dynamics
- Asymptotic exponentiality of the first exit time of the Shiryaev–Roberts diffusion with constant positive drift
- scientific article; zbMATH DE number 946309 (Why is no real title available?)
- On first passage times of sticky reflecting diffusion processes with double exponential jumps
- A note on the transition from diffusion with the flow to diffusion against the flow, for first passage times in singularly perturbed drift-diffusion models
- Efficient Estimation of First Passage Time Density Function for Jump-Diffusion Processes
- On the asymptotic behaviour of first-passage-time densities for one-dimensional diffusion processes and varying boundaries
- Selfsimilarity of diffusions’ first passage times
- Asymptotics for diffusion first-passage laws
- Asymptotics for the survival probability of time-inhomogeneous diffusion processes
- First-exit-time problems for two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses
This page was built for publication: Explicit asymptotics on first passage times of diffusion processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5005031)
