First passage densities and boundary crossing probabilities for diffusion processes

DOI10.1007/S11009-008-9070-XzbMATH Open1293.60075arXiv0708.3562OpenAlexW1974201502MaRDI QIDQ398798FDOQ398798

Authors: Andrew N. Downes, K. Borovkov 

Publication date: 15 August 2014

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Abstract: We consider the boundary crossing problem for time-homogeneous diffusions and general curvilinear boundaries. Bounds are derived for the approximation error of the one-sided (upper) boundary crossing probability when replacing the original boundary by a different one. In doing so we establish the existence of the first-passage time density and provide an upper bound for this function. In the case of processes with diffusion interval equal to whole real line this is extended to a lower bound, as well as bounds for the first crossing time of a lower boundary. An extension to some time-inhomogeneous diffusions is given. These results are illustrated by numerical examples.

Full work available at URL: https://arxiv.org/abs/0708.3562

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zbMATH Keywords

diffusion processesboundary crossingfirst passage time density

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion processes (60J60)

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Cited In (24)

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• Statistics of boundary encounters by a particle diffusing outside a compact planar domain
• On certain bounds for first-crossing-time probabilities of a jump-diffusion process
• On Markov chain approximations for computing boundary crossing probabilities of diffusion processes
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• First-passage-time location function: application to determine first-passage-time densities in diffusion processes
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• First passage probabilities of one-dimensional diffusion processes
• First passage times over stochastic boundaries for subdiffusive processes
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• The density of bounded diffusions
• Joint densities of first hitting times of a diffusion process through two time-dependent boundaries
• Some results about boundary crossing for Brownian motion
• Qualitative behaviour of the first-passage-time density of a one-dimensional diffusion over a moving boundary
• Subdiffusive concentration in first passage percolation
• Level-crossing probabilities and first-passage times for linear processes
• Crossing probabilities for diffusion processes with piecewise continuous boundaries

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