Some problems about the asymptotics of the first-passage time of a one-dimensional diffusion process through a stochastic, as well as deterministic one-sided boundary are studied, generalizing the analogous results found by Peskir and Shiryaev for Brownian motion.
Abundo, M.r. (2003). On the first-passage time of a diffusion process over a one-sided stochastic boundary. STOCHASTIC ANALYSIS AND APPLICATIONS, 21(1), 1-23 [10.1081/SAP-120017530].
On the first-passage time of a diffusion process over a one-sided stochastic boundary
ABUNDO, MARIO ROSOLINO
2003-01-01
Abstract
Some problems about the asymptotics of the first-passage time of a one-dimensional diffusion process through a stochastic, as well as deterministic one-sided boundary are studied, generalizing the analogous results found by Peskir and Shiryaev for Brownian motion.File in questo prodotto:
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