First passage probabilities of one-dimensional diffusion processes

作     者：Huijie JI Jinghai SHAO 

作者机构：School of Mathematical Sciences Beijing Normal University Beijing 100875 China College of Mathematics and Computer Science Shanxi Normal UniversityLinfen 041000 China 

出 版 物：《Frontiers of Mathematics in China》 (中国高等学校学术文摘·数学（英文）)

年 卷 期：2015年第10卷第4期

页      面：901-916页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：This work was supported in part by the National Natural Science Foundation of Ghina (Grant Nos. 11301030  11431014)  the 985-Project  and the Beijing Higher Education Young Elite Teacher Project 

主　　题：Boundary crossing probability first passage probability Markovchain Skorokhod approximation 

摘      要：This work is devoted to calculating the first passage probabilities of one-dimensional diffusion processes. For a one-dimensional diffusion process, we construct a sequence of Markov chains so that their absorption probabilities approximate the first passage probability of the given diffusion process. This method is especially useful when dealing with time-dependent boundaries.