Crossing probabilities for diffusion processes with piecewise continuous boundaries

DOI10.1007/s11009-006-9002-6zbMath1122.60070arXivmath/0612337MaRDI 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 process; Brownian motion; Diffusion process; First hitting time; First passage time; Boundary crossing probabilities

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

65C05: Monte Carlo methods

60G40: Stopping times; optimal stopping problems; gambling theory

60J60: Diffusion processes

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

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