THE HAZARD RATE TANGENT APPROXIMATION FOR BOUNDARY HITTING TIMES
成果类型：
Article
署名作者：
Roberts, G. O.; Shortland, C. F.
署名单位：
University of Cambridge
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/aoap/1177004773
发表日期：
1995
页码：
446-460
关键词：
摘要：
We consider the problem of estimating first exit distributions for one-dimensional diffusion processes. We provide analytic bounds and an approximation which is shown to be accurate in a range of numerical examples involving Brownian motion.
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