First passage probabilities of one-dimensional diffusion processes
Author:
Publisher
Springer Science and Business Media LLC
Subject
Mathematics (miscellaneous)
Link
http://link.springer.com/content/pdf/10.1007/s11464-015-0459-x.pdf
Reference18 articles.
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4. Chi Y, Lin X S. On the threshold dividend strategy for a generalized jump-diffusion risk model. Insurance Math Econom, 2011, 48(3): 326–337
5. Daniels H E. Approximating the first crossing-time density for a curved boundary. Bernoulli, 1996, 2: 133–143
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1. On Markov chain approximations for computing boundary crossing probabilities of diffusion processes;Journal of Applied Probability;2023-05-11
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