Explicit asymptotics on first passage times of diffusion processes

DOI10.1017/apr.2020.13zbMath1470.91325arXiv1806.08161OpenAlexW2809269638MaRDI QIDQ5005031

Luting Li, Angelos Dassios

Publication date: 4 August 2021

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.08161

zbMATH Keywords

perturbation theoryBessel processdiffusion processOrnstein-Uhlenbeck processspecial functionsfirst passage timeexponential-Shiryaev processhypergeometric diffusion

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Financial applications of other theories (91G80) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items

Asymptotics for the survival probability of time-inhomogeneous diffusion processes

Uses Software

• DLMF

Cites Work

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