3 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.PR2008
Bounds for the Transition Density of Time-Homogeneous Diffusion Processes
Andrew N. Downes
The paper presents new simple sharp bounds for transition density functions for time-homogeneous diffusions processes. The bounds are obtained under mild conditions on the drift an…
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…