Exit probability levels of diffusion processes

DOI10.1090/PROC/13392MaRDI QIDQ2964052zbMATH OpenOpenAlexFDO

Authors Doncho S. Donchev

Publication date 22 February 2017

Published in Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/proc/13392

zbMATH Keywords

Brownian motionstochastic differential equationsBessel processdiffusion processesexit problem

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• A Modification of the Sequential Probability Ratio Test to Reduce the Sample Size
• Approximations of boundary crossing probabilities for a Brownian motion
• Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis
• Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test
• Brownian motion hitting probabilities for general two-sided square-root boundaries
• On Stopping Times for a Wiener Process
• On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes
• On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary
• On the integral of the absolute value of the pinned Wiener process
• On the two-boundary first-crossing-time problem for diffusion processes

Cited in

(5)

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• Exit probability for an integrated geometric Brownian motion
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• On refinements of neoclassical inequality and its applications to stochastic differential equations and Brownian motion
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