Estimates for first exit times of non-Markovian Itô processes

DOI10.1080/17442500701672197zbMath1146.60034MaRDI QIDQ3518571

Nikolai G. Dokuchaev

Publication date: 8 August 2008

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11937/36870

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J65: Brownian motion

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

60G17: Sample path properties

60J50: Boundary theory for Markov processes

Related Items

Degenerate backward SPDEs in bounded domains and applications to barrier options

Cites Work

• Estimates for distances between first exit times via parabolic equations in unbounded cylinders
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