Title

First passage probabilities of one-dimensional diffusion processes.

Authors

Ji, Huijie; Shao, Jinghai

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.

Subjects

DIFFUSION processes; BOUNDARY element methods; MARKOV processes; STOCHASTIC processes; PROBABILITY theory

Publication

Frontiers of Mathematics in China, 2015, Vol 10, Issue 4, p901

ISSN

1673-3452

Publication type

Academic Journal

DOI

10.1007/s11464-015-0459-x