2 papers
math.PR2008
On Boundary Crossing Probabilities for Diffusion Processes
Konstantin A. Borovkov, Andrew N. Downes
In this paper, we establish a relationship between the asymptotic form of conditional boundary crossing probabilities and first passage time densities for diffusion processes. Name…
math.PR2007
First Passage Densities and Boundary Crossing Probabilities for Diffusion Processes
A. N. Downes, K. Borovkov
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 (upper…