Abstract
By using Berg’s Abelian theorem, Csáki extracted a sharp asymptotic estimate for a diffusion first-passage law from its Laplace transform. We extend the method and give a simple formulation for Itô diffusions.
Citation
Paul McGill. "Asymptotics for diffusion first-passage laws." Bernoulli 15 (1) 267 - 278, February 2009. https://doi.org/10.3150/07-BEJ117
Information
Published: February 2009
First available in Project Euclid: 3 February 2009
zbMATH: 1202.60130
MathSciNet: MR2546807
Digital Object Identifier: 10.3150/07-BEJ117
Keywords:
asymptotic expansion
,
diffusion
,
hitting law
,
Tauberian theorem
Rights: Copyright © 2009 Bernoulli Society for Mathematical Statistics and Probability
