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.
Citation
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
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