3 papers
math.PR2024
On time-dependent boundary crossing probabilities of diffusion processes as differentiable functionals of the boundary
Vincent Liang, Konstantin Borovkov
The paper analyses the sensitivity of the finite time horizon boundary non-crossing probability of a general time-inhomogeneous diffusion process to perturbations of the bou…
math.PR2023
On extension of the Markov chain approximation method for computing Feynman--Kac type expectations
Vincent Liang, Konstantin Borovkov
An efficient discrete time and space Markov chain approximation employing a Brownian bridge correction for computing curvilinear boundary crossing probabilities for general diffusi…
math.PR2021
On Markov chain approximations for computing boundary crossing probabilities of diffusion processes
Vincent Liang, Konstantin Borovkov
We propose a discrete time discrete space Markov chain approximation with a Brownian bridge correction for computing curvilinear boundary crossing probabilities of a general diffus…