Stochastic Ordering for First Passage Times of Diffusion Processes Through Boundaries
نویسندگان
چکیده
Use of comparison theorems for solutions of stochastic differential equations is made to prove sufficient conditions for almost sure or stochastic ordering of first passage times of one-dimensional diffusion processes through an assigned boundary. Conditions on boundary and parameters that make orded the first passage time distributions of two different diffusion processes are determined. Some examples are discussed in detail in order to show the use of ordering notion in the comparison of the features of different models used in various branches of science ranging from biology to finance or physics.
منابع مشابه
Almost Sure Comi'arjsons for First Passage times of Diffusion Processes through Boundarjes
Conditions on the boundary and parameters that produce ordering in the first passage time distributions of two different diffusion processes are proved making use of comparison theorems for stochastic differential equations. Three applications of interest in stochastic modeling are presented: a sensitivity analysis for diffusion models characterized by means of first passage times, the comparis...
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