Boundary Crossing Probabilities for Locally Poisson Processes
نویسندگان
چکیده
منابع مشابه
On Boundary Crossing Probabilities for Diffusion Processes
In this paper we establish a relationship between the asymptotic form of conditional boundary crossing probabilities and first passage time densities for diffusion processes. We show that, under the assumption that the conditional probability that our diffusion (Xs, s ≥ 0) doesn’t cross an upper boundary g(·) prior to time t given that Xt = z behaves as (a+ o(1))(g(t)− z) as z ↑ g(t), there exi...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 1992
ISSN: 1050-5164
DOI: 10.1214/aoap/1177005778