Crossing probabilities for diffusion processes with piecewise continuous boundaries

DOI10.1007/s11009-006-9002-6zbMath1122.60070arXivmath/0612337OpenAlexW2017067860MaRDI QIDQ2642479

Liqun Wang, Klaus Pötzelberger

Publication date: 17 August 2007

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

Full work available at URL: https://arxiv.org/abs/math/0612337

zbMATH Keywords

Wiener processBrownian motionDiffusion processFirst hitting timeFirst passage timeBoundary crossing probabilities

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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