Some preliminary results on first crossing time densities for two-dimensional diffusion processes
Some preliminary results on first crossing time densities for two-dimensional diffusion processes
IRIS IRIS Home Sfoglia Macrotipologie & tipologie Autore Titolo Riviste Serie IT Italiano Italiano …
IRIS IRIS Home Sfoglia Macrotipologie & tipologie Autore Titolo Riviste Serie IT Italiano Italiano …
First passage densities and boundary crossing probabilities for diffusion processes
AN Downes, K Borovkov - Methodology and Computing in Applied …, 2008 - Springer
We consider the boundary crossing problem for time-homogeneous diffusions and general
curvilinear boundaries. Bounds are derived for the approximation error of the one-sided …
curvilinear boundaries. Bounds are derived for the approximation error of the one-sided …
On first–crossing times of one–dimensional diffusions over two time–dependent boundaries
M Abundo - Stochastic analysis and applications, 2000 - Taylor & Francis
Some problems of first–crossing times over two time–dependent boundaries for one–
dimensional diffusion processes are considered. The moments of the first–crossing times …
dimensional diffusion processes are considered. The moments of the first–crossing times …
First-crossing time problems for diffusion processes in R^ 2 through particular closed curves
For two-dimensional time-homogeneous diffusion processes the first-passage-time crossing
through closed time-dependent boundaries admitting of parametric representations is …
through closed time-dependent boundaries admitting of parametric representations is …
[HTML][HTML] On boundary crossing probabilities for diffusion processes
K Borovkov, AN Downes - Stochastic processes and their applications, 2010 - Elsevier
The paper deals with curvilinear boundary crossing probabilities for time-homogeneous
diffusion processes. First we establish a relationship between the asymptotic form of …
diffusion processes. First we establish a relationship between the asymptotic form of …
On the first passage time moments for a class of specially confined diffusion processes
A particular class of time-homogeneous diffusion processes defined over the interval I=[r, r2)
is considered, where r is a regular or an entrance boundary and r2 is a natural boundary …
is considered, where r is a regular or an entrance boundary and r2 is a natural boundary …
Similarity solutions of first-passage problems for two-dimensional Wiener processes
M Lefebvre - Statistics & probability letters, 1996 - Elsevier
Similarity solutions of first-passage problems for two-dimensional Wiener processes 1 Page 1
ELSEVIER Statistics & Probability Letters 29 (1996) 185-189 STATISTICS& PROBABILITY …
ELSEVIER Statistics & Probability Letters 29 (1996) 185-189 STATISTICS& PROBABILITY …
[图书][B] Boundary Crossing Probabilities for Diffusion Processes and Related Problems
AN Downes - 2008 - minerva-access.unimelb.edu.au
This thesis is concerned with boundary crossing probabilities and first crossing time
densities for stochastic processes. This is a classical problem in probability that goes back to …
densities for stochastic processes. This is a classical problem in probability that goes back to …
On the first passage time problem for certain diffusion processes
Various methods to evaluate first-passage-time densities for one-dimensionaI diffusion
processes are outlined. Special symmetry conditions are analyzed and the notion of …
processes are outlined. Special symmetry conditions are analyzed and the notion of …
Exponential trends of first-passage-time densities for a class of diffusion processes with steady-state distribution
AG Nobile, LM Ricciardi, L Sacerdote - Journal of applied probability, 1985 - cambridge.org
The asymptotic behavior of the first-passage-time pdf through a constant boundary is studied
when the boundary approaches the endpoints of the diffusion interval. We show that for a …
when the boundary approaches the endpoints of the diffusion interval. We show that for a …