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math.PR2019
Computing wedge probabilities: finite time horizon case
Dmitry Muravey
We present an alternative to the well-known Anderson's formula for the probability that a first exit time from the planar region between two slopping lines -a_1 t -b_1 and a_2 t +…
math.PR2018
Lie symmetries methods in boundary crossing problems for diffusion processes
Dmitry Muravey
This paper uses Lie symmetry methods to analyze boundary crossing probabilities for a large class of diffusion processes. We show that if Fokker--Planck--Kolmogorov equation has no…