First passage probabilities of one-dimensional diffusion processes

doi:10.1007/s11464-015-0459-x

Front. Math. China

2015, Vol. 10

Issue (4) : 901-916 https://doi.org/10.1007/s11464-015-0459-x

RESEARCH ARTICLE

First passage probabilities of one-dimensional diffusion processes

Huijie JI^1,²,Jinghai SHAO^1,^*(

)

1. School of Mathematical Sciences, Beijing Normal University, Beijing 100875, China
2. College of Mathematics and Computer Science, Shanxi Normal University, Linfen 041000, China

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Abstract

This work is devoted to calculating the first passage probabilities of one-dimensional diffusion processes. For a one-dimensional diffusion process, we construct a sequence of Markov chains so that their absorption probabilities approximate the first passage probability of the given diffusion process. This method is especially useful when dealing with time-dependent boundaries.

Keywords Boundary crossing probability first passage probability Markov chain Skorokhod approximation

Corresponding Author(s): Jinghai SHAO

Issue Date: 05 June 2015

Cite this article:

Huijie JI,Jinghai SHAO. First passage probabilities of one-dimensional diffusion processes[J]. Front. Math. China, 2015, 10(4): 901-916.

URL:

https://academic.hep.com.cn/fmc/EN/10.1007/s11464-015-0459-x
https://academic.hep.com.cn/fmc/EN/Y2015/V10/I4/901

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