Estimates for first exit times of non-Markovian Itô processes

DOI10.1080/17442500701672197zbMath1146.60034OpenAlexW1998769445MaRDI 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

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

Related Items (2)

On degenerate backward SPDEs in bounded domains under non-local conditions ⋮ 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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