Exact asymptotics for the probability of exit from a domain and applications to simulation
成果类型：
Article
署名作者：
Baldi, P
刊物名称：
ANNALS OF PROBABILITY
ISSN/ISSBN：
0091-1798
DOI：
10.1214/aop/1176987797
发表日期：
1995
页码：
1644-1670
关键词：
摘要：
We study the asymptotics of the exit probability P-x, s(epsilon){tau less than or equal to T), where tau is the exit time from an open set and P-x, s(epsilon), is the law of a diffusion process with a small parameter epsilon multiplying the diffusion coefficient. We consider the case of the Brownian bridge in many dimensions, this choice being motivated by applications to numerical simulation. The method uses recent results reducing the problem to the solution of a system of linear first-order PDE's.