Asymptotic Approximations for Brownian Motion Boundary Hitting Times
Roberts, G. O.
Ann. Probab., Tome 19 (1991) no. 4, p. 1689-1731 / Harvested from Project Euclid
The problem of approximating boundary hitting times for diffusion processes, and in particular Brownian motion, is considered. Using a combination of probabilistic and function-analytic techniques, approximations for conditioned diffusion distributions are obtained. These lead to approximations for the distribution of the hitting time itself. The approximations are split into three cases depending on whether the boundary is upper case, approximation square root or lower case, and one-sided boundaries are also considered separately.
Publié le : 1991-10-14
Classification:  Brownian motion,  boundary hitting time,  upper case,  lower case,  eigenfunction expansion,  60J65,  60J50
@article{1176990230,
     author = {Roberts, G. O.},
     title = {Asymptotic Approximations for Brownian Motion Boundary Hitting Times},
     journal = {Ann. Probab.},
     volume = {19},
     number = {4},
     year = {1991},
     pages = { 1689-1731},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176990230}
}
Roberts, G. O. Asymptotic Approximations for Brownian Motion Boundary Hitting Times. Ann. Probab., Tome 19 (1991) no. 4, pp.  1689-1731. http://gdmltest.u-ga.fr/item/1176990230/