Asymptotics for the survival probability of time-inhomogeneous diffusion processes
Y Wang, N Yang - Operations Research Letters, 2023 - Elsevier
This paper develops an analytical approach to compute the explicit asymptotic formulas for
the probability that a time-inhomogeneous diffusion process does not cross a non-flat …
the probability that a time-inhomogeneous diffusion process does not cross a non-flat …
First-exit-time problems for two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses
We study the first-exit-time problem for the two-dimensional Wiener and Ornstein–
Uhlenbeck processes through time-varying ellipses which run according to specific rules …
Uhlenbeck processes through time-varying ellipses which run according to specific rules …
Approximation of the first passage time distribution for the birth–death processes
A Kononovicius, V Gontis - Journal of Statistical Mechanics …, 2019 - iopscience.iop.org
We propose a general method to obtain approximation of the first passage time distribution
for the birth–death processes. We rely on the general properties of birth–death processes …
for the birth–death processes. We rely on the general properties of birth–death processes …
First passage times of diffusion processes and their applications to finance
L Li - 2019 - etheses.lse.ac.uk
This thesis consists of three submitted papers and one working paper. It begins with the
study of asymptotic solutions for the first passage time densities of various diffusion …
study of asymptotic solutions for the first passage time densities of various diffusion …