On boundary crossing probabilities for diffusion processes-Reference-Cited by-同舟云学术

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On boundary crossing probabilities for diffusion processes

Published:2010-02 Issue:2 Volume:120 Page:105-129
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Borovkov K.,Downes A.N.

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference13 articles.

1. Asymptotics of hitting probabilities for general one-dimensional pinned diffusions;Baldi;Ann. Appl. Probab.,2002

2. Probability and Measure;Billingsley,1995

3. Handbook of Brownian Motion: Facts and Formulae;Borodin,2002

4. Kendall’s identity for the first crossing time revisited;Borovkov;Electron. Comm. Probab.,2001

5. K. Borovkov, A.N. Downes, On boundary crossing probabilities for diffusion processes, arXiv.org:0811:2629, 2008

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Asymptotics for the survival probability of time-inhomogeneous diffusion processes;Operations Research Letters;2023-05

2. Lie Symmetries Methods in Boundary Crossing Problems for Diffusion Processes;Acta Applicandae Mathematicae;2020-06-08

3. First Passage Time Densities through Hölder curves;Latin American Journal of Probability and Mathematical Statistics;2018

4. Boundary non-crossing probabilities for fractional Brownian motion with trend;Stochastics;2015-05-12

5. Boundary noncrossings of additive Wiener fields∗;Lithuanian Mathematical Journal;2014-07

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