The Annals of Applied Probability

Asymptotics of hitting probabilities for general one-dimensional pinned diffusions

Paolo Baldi and Lucia Caramellino

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Abstract

We consider a general one-dimensional diffusion process and we study the probability of crossing a boundary for the associated pinned diffusion as the time at which the conditioning takes place goes to zero. We provide asymptotics for this probability as well as a first order development. We consider also the cases of two boundaries possibly depending on the time. We give applications to simulation.

Article information

Source
Ann. Appl. Probab., Volume 12, Number 3 (2002), 1071-1095.

Dates
First available in Project Euclid: 12 September 2002

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1031863181

Digital Object Identifier
doi:10.1214/aoap/1031863181

Mathematical Reviews number (MathSciNet)
MR1925452

Zentralblatt MATH identifier
1015.60023

Subjects
Primary: 60F10: Large deviations
Secondary: 60J60: Diffusion processes [See also 58J65]

Keywords
Conditioned diffusions sharp large deviation estimates exit time probabilities

Citation

Baldi, Paolo; Caramellino, Lucia. Asymptotics of hitting probabilities for general one-dimensional pinned diffusions. Ann. Appl. Probab. 12 (2002), no. 3, 1071--1095. doi:10.1214/aoap/1031863181. https://projecteuclid.org/euclid.aoap/1031863181


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