Asymptotics for diffusion first-passage laws
McGill, Paul
Bernoulli, Tome 15 (2009) no. 1, p. 267-278 / Harvested from Project Euclid
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By using Berg’s Abelian theorem, Csáki extracted a sharp asymptotic estimate for a diffusion first-passage law from its Laplace transform. We extend the method and give a simple formulation for Itô diffusions.
Publié le : 2009-02-15
Classification:  asymptotic expansion,  diffusion,  hitting law,  Tauberian theorem 
@article{1233669891,
     author = {McGill, Paul},
     title = {Asymptotics for diffusion first-passage laws},
     journal = {Bernoulli},
     volume = {15},
     number = {1},
     year = {2009},
     pages = { 267-278},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1233669891}
}

McGill, Paul. Asymptotics for diffusion first-passage laws. Bernoulli, Tome 15 (2009) no. 1, pp.  267-278. http://gdmltest.u-ga.fr/item/1233669891/