Exit probability levels of diffusion processes

DOI10.1090/proc/13392zbMath1360.60151OpenAlexW2478685460MaRDI QIDQ2964052

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

Bessel processBrownian motionstochastic differential equationsdiffusion processesexit problem

Mathematics Subject Classification ID

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

Related Items (2)

Unnamed Item ⋮ Breaking a Chain of Interacting Brownian Particles: A Gumbel Limit Theorem

Cites Work

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• Approximations of boundary crossing probabilities for a Brownian motion
• Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test
• On Stopping Times for a Wiener Process

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