On Markov chain approximations for computing boundary crossing probabilities of diffusion processes

DOI10.1017/jpr.2023.11arXiv2112.05268MaRDI QIDQ6148883

Konstantin A. Borovkov, Unnamed Author

Publication date: 12 January 2024

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2112.05268

zbMATH Keywords

Markov chains; diffusion processes; boundary crossing probability

Mathematics Subject Classification ID

60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

60J60: Diffusion processes

65C30: Numerical solutions to stochastic differential and integral equations