First passage densities and boundary crossing probabilities for diffusion processes

DOI10.1007/S11009-008-9070-XMaRDI QIDQ398798zbMATHOpenAlexFDO

Authors Andrew N. Downes, K. Borovkov

Publication date 15 August 2014

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0708.3562

zbMATH Keywords

diffusion processesboundary crossingfirst passage time density

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion processes (60J60)

Abstract: 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.

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Cited in

(25)

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