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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…