ASYMPTOTIC APPROXIMATIONS FOR BROWNIAN-MOTION BOUNDARY HITTING TIMES
成果类型：
Article
署名作者：
ROBERTS, GO
刊物名称：
ANNALS OF PROBABILITY
ISSN/ISSBN：
0091-1798
DOI：
10.1214/aop/1176990230
发表日期：
1991
页码：
1689-1731
关键词：
摘要：
The problem of approximating boundary hitting times for diffusion processes, and in particular Brownian motion, is considered. Using a combination of probabilistic and function-analytic techniques, approximations for conditioned diffusion distributions are obtained. These lead to approximations for the distribution of the hitting time itself. The approximations are split into three cases depending on whether the boundary is upper case, approximation square root or lower case, and one-sided boundaries are also considered separately.