The Problem of Stochastic Exit

DOI10.1137/0140018MaRDI QIDQ3946895zbMATH OpenOpenAlexFDO

Authors Randall G. Williams

Publication date 1981

Published in SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0140018

zbMATH Keywords

asymptotic solutionexit position

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Cited in

(1)

• Ruin theory problems in simple SDE models with large deviation asymptotics

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