We consider the problem of estimating first exit distributions for one-dimensional diffusion processes. We provide analytic bounds and an approximation which is shown to be accurate in a range of numerical examples involving Brownian motion.
Publié le : 1995-05-14
Classification:
60J6S,
Boundary hitting time,
one-dimensional diffusion process,
Brownian motion,
60350
@article{1177004773,
author = {Roberts, G. O. and Shortland, C. F.},
title = {The Hazard Rate Tangent Approximation for Boundary Hitting Times},
journal = {Ann. Appl. Probab.},
volume = {5},
number = {4},
year = {1995},
pages = { 446-460},
language = {en},
url = {http://dml.mathdoc.fr/item/1177004773}
}
Roberts, G. O.; Shortland, C. F. The Hazard Rate Tangent Approximation for Boundary Hitting Times. Ann. Appl. Probab., Tome 5 (1995) no. 4, pp. 446-460. http://gdmltest.u-ga.fr/item/1177004773/