Explicit asymptotics on first passage times of diffusion processes
Sign Up to like & getrecommendations! Published in 2020 at "Advances in Applied Probability"
DOI: 10.1017/apr.2020.13
Abstract: Abstract We introduce a unified framework for solving first passage times of time-homogeneous diffusion processes. Using potential theory and perturbation theory, we are able to deduce closed-form truncated probability densities, as asymptotics or approximations to… read more here.
Keywords: explicit asymptotics; first passage; passage times; diffusion processes ... See more keywords