First passage densities and boundary crossing probabilities for diffusion processes

DOI10.1007/s11009-008-9070-xzbMath1293.60075arXiv0708.3562OpenAlexW1974201502MaRDI QIDQ398798

Andrew N. Downes, Konstantin A. Borovkov

Publication date: 15 August 2014

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

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

zbMATH Keywords

boundary crossingdiffusion processesfirst passage time density

Mathematics Subject Classification ID

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

Related Items

On the computation of the survival probability of Brownian motion with drift in a closed time interval when the absorbing boundary is a step function ⋮ On Markov chain approximations for computing boundary crossing probabilities of diffusion processes ⋮ On boundary crossing probabilities for diffusion processes ⋮ Boundary non-crossing probabilities for fractional Brownian motion with trend ⋮ Bounds for the transition density of time-homogeneous diffusion processes ⋮ First passage probabilities of one-dimensional diffusion processes

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