THE HAZARD RATE TANGENT APPROXIMATION FOR BOUNDARY HITTING TIMES

被引：9

作者：

Roberts, G. O. ^{[1
]}

Shortland, C. F. ^{[1
]}

机构：

[1] Univ Cambridge, Stat Lab, Cambridge CB2 1SB, England

来源：

ANNALS OF APPLIED PROBABILITY | 1995年 / 5卷 / 02期

关键词：

Boundary hitting time; one-dimensional diffusion process; Brownian motion;

D O I：

10.1214/aoap/1177004773

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

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.

引用

页码：446 / 460

页数：15

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