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
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