Convergence of exit times for diffusion processes

DOI10.1090/S0094-9000-2014-00924-2zbMath1310.60042OpenAlexW2032265088MaRDI QIDQ2923405

V. V. Tomashyk, Yuliya S. Mishura

Publication date: 15 October 2014

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0094-9000-2014-00924-2

zbMATH Keywords

stochastic differential equationsdiffusion processesstopping timesYamada condition

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (1)

Convergence of hitting times for jump-diffusion processes

Cites Work

• [https://portal.mardi4nfdi.de/wiki/Publication:4151488 Sur l'approximation des solutions d'�quations diff�rentielles stochastiques]
• Properties of solutions of stochastic differential equations with nonhomogeneous coefficients and non-Lipschitz diffusion
• Optimal Stopping for Partial Sums
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