Asymptotics of hitting probabilities for general one-dimensional pinned diffusions

• 成果类型: Article
• 署名作者: Baldi, P; Caramellino, L
• 署名单位: University of Rome Tor Vergata
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• 发表日期: 2002
• 页码: 1071-1095
• 关键词: simulation

摘要

We consider a general one-dimensional diffusion process and we study the probability of crossing a boundary for the associated pinned diffusion as the time at which the conditioning takes place goes to zero. We provide asymptotics for this probability as well as a first order development. We consider also the cases of two boundaries possibly depending on the time. We give applications to simulation.