Estimates for first exit times of non-Markovian Itô processes

DOI10.1080/17442500701672197MaRDI QIDQ3518571zbMATH OpenOpenAlexFDO

Authors Nikolai 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

Sample path properties (60G17) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Boundary theory for Markov processes (60J50) Brownian motion (60J65)

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Cites work

• Estimates for distances between first exit times via parabolic equations in unbounded cylinders
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• scientific article; zbMATH DE number 3478187 (Why is no real title available?)
• scientific article; zbMATH DE number 3639528 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)

Cited in

(8)

• Optimal local first exit time
• On mean numbers of passage times in small balls of discretized Itô processes
• First arrival of a stochastic process at the boundary
• Estimates for distances between first exit times via parabolic equations in unbounded cylinders
• Degenerate backward SPDEs in bounded domains and applications to barrier options
• On First Exit Times for Homogeneous Diffusion Processes
• On degenerate backward SPDEs in bounded domains under non-local conditions
• First time to exit of a continuous Itô process: general moment estimates and \({\mathbf{L}}_{1}\)-convergence rate for discrete time approximations

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