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math.PR2012★ 1 cited
Nonlinear boundary crossing probabilities of Brownian motion with random jumps
Jinghai Shao, Liqun Wang
We derive explicit formulas for probabilities of Brownian motion with jumps crossing linear or piecewise linear boundaries in any finite interval. We then use these formulas to app…
math.PR2012
Boundary crossing probabilities for diffusions with piecewise linear drifts
Jinghai Shao, Liqun Wang
We propose an approach to approximate the boundary crossing probabilities for general one-dimensional diffusion processes, and derive the convergence rate for this approximation sc…
math.PR2006★ 1 cited
Crossing Probabilities for Diffusion Processes with Piecewise Continuous Boundaries
Liqun Wang, Klaus Pötzelberger
We propose an approach to compute the boundary crossing probabilities for a class of diffusion processes which can be expressed as piecewise monotone (not necessarily one-to-one) f…