We consider a general one-dimensional diffusion process and we study the probability of crossing a boundary for the associated pinned diffusion as the time at which the conditioning takes place goes to zero. We provide asymptotics for this probability as well as a first order development. We consider also the cases of two boundaries possibly depending on the time. We give applications to simulation.
Publié le : 2002-08-14
Classification:
Conditioned diffusions,
sharp large deviation estimates,
exit time probabilities,
60F10,
60J60
@article{1031863181,
author = {Baldi, Paolo and Caramellino, Lucia},
title = {Asymptotics of hitting probabilities for general one-dimensional pinned diffusions},
journal = {Ann. Appl. Probab.},
volume = {12},
number = {1},
year = {2002},
pages = { 1071-1095},
language = {en},
url = {http://dml.mathdoc.fr/item/1031863181}
}
Baldi, Paolo; Caramellino, Lucia. Asymptotics of hitting probabilities for general one-dimensional pinned diffusions. Ann. Appl. Probab., Tome 12 (2002) no. 1, pp. 1071-1095. http://gdmltest.u-ga.fr/item/1031863181/