Exit probability levels of diffusion processes

DOI10.1090/PROC/13392zbMATH Open1360.60151OpenAlexW2478685460MaRDI QIDQ2964052FDOQ2964052

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

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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)

Cites Work

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

Cited In (5)

• Title not available (Why is that?)
• Breaking a Chain of Interacting Brownian Particles: A Gumbel Limit Theorem
• Title not available (Why is that?)
• Exit probability for an integrated geometric Brownian motion
• On mean exit time from a curvilinear domain

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