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August 2002 Asymptotics of hitting probabilities for general one-dimensional pinned diffusions
Paolo Baldi, Lucia Caramellino
Ann. Appl. Probab. 12(3): 1071-1095 (August 2002). DOI: 10.1214/aoap/1031863181

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.

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Paolo Baldi. Lucia Caramellino. "Asymptotics of hitting probabilities for general one-dimensional pinned diffusions." Ann. Appl. Probab. 12 (3) 1071 - 1095, August 2002. https://doi.org/10.1214/aoap/1031863181

Information

Published: August 2002
First available in Project Euclid: 12 September 2002

zbMATH: 1015.60023
MathSciNet: MR1925452
Digital Object Identifier: 10.1214/aoap/1031863181

Subjects:
Primary: 60F10
Secondary: 60J60

Keywords: Conditioned diffusions , exit time probabilities , sharp large deviation estimates

Rights: Copyright © 2002 Institute of Mathematical Statistics

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Vol.12 • No. 3 • August 2002
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