On the first-passage area of a one-dimensional jump-diffusion process
M Abundo - Methodology and Computing in Applied Probability, 2013 - Springer
For a one-dimensional jump-diffusion process X (t), starting from x> 0, it is studied the
probability distribution of the area A (x) swept out by X (t) till its first-passage time below zero …
probability distribution of the area A (x) swept out by X (t) till its first-passage time below zero …
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 …
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 …
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 …
[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 of a diffusion process over a one-sided stochastic boundary
M Abundo - 2003 - Taylor & Francis
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 …
diffusion process through a stochastic, as well as deterministic one-sided boundary are …
On the asymptotic behavior of distributions of first-passage times, II
AA Borovkov - Mathematical Notes, 2004 - Springer
On the Asymptotic Behavior of Distributions of First-Passage Times, II Page 1 Mathematical
Notes, vol. 75, no. 3, 2004, pp. 322–330. Translated from Matematicheskie Zametki, vol. 75, no …
Notes, vol. 75, no. 3, 2004, pp. 322–330. Translated from Matematicheskie Zametki, vol. 75, no …
On the two-boundary first-crossing-time problem for diffusion processes
The first-crossing-time problem through two time-dependent boundaries for one-
dimensional diffusion processes is considered. The first-crossing pdf's from below and from …
dimensional diffusion processes is considered. The first-crossing pdf's from below and from …
Limit at zero of the first-passage time density and the inverse problem for one-dimensional diffusions
M Abundo - Stochastic analysis and applications, 2006 - Taylor & Francis
We study the limit at zero of the first-passage time density of a one-dimensional diffusion
process over a moving boundary and we also deal with the inverse first-passage time …
process over a moving boundary and we also deal with the inverse first-passage time …
On the asymptotic behavior of the distributions of first-passage times, I
AA Borovkov - Mathematical Notes, 2004 - Springer
On the Asymptotic Behavior of the Distributions of First-Passage Times, I Page 1
Mathematical Notes, vol. 75, no. 1, 2004, pp. 23–37. Translated from Matematicheskie …
Mathematical Notes, vol. 75, no. 1, 2004, pp. 23–37. Translated from Matematicheskie …