First passage probabilities of one-dimensional diffusion processes
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Publication:2355250
DOI10.1007/s11464-015-0459-xzbMath1322.60163OpenAlexW2002365626MaRDI QIDQ2355250
Publication date: 21 July 2015
Published in: Frontiers of Mathematics in China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11464-015-0459-x
Markov chainsdiffusion processesboundary crossing probabilityfirst passage probabilitySkorokhod approximation
Brownian motion (60J65) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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Cites Work
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