Boundary crossing probabilities for diffusions with piecewise linear drifts
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Publication:6232966
arXiv1205.2941MaRDI QIDQ6232966FDOQ6232966
Authors: Jinghai Shao, Liqun Wang 
Publication date: 14 May 2012
Abstract: We propose an approach to approximate the boundary crossing probabilities for general one-dimensional diffusion processes, and derive the convergence rate for this approximation scheme. There results are based on the explicit expression of the Laplace transforms of the first passage densities for diffusions with piecewise linear drifts. The proposed method is applied to a reliability problem where the standard degradation model based on Wiener process is extended to diffusion processes with piecewise linear drifts.
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Diffusion processes (60J60) Brownian motion (60J65)
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