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On the First-Passage Time of a Diffusion Process Over a One-Sided Stochastic Boundary 

Author: Mario Abundo a
Affiliation:   a Centro Volterra and Dipartimento di Matematica, Universitagrave Tor Vergata, Roma, Italy
DOI: 10.1081/SAP-120017530
Publication Frequency: 6 issues per year
Published in: journal Stochastic Analysis and Applications, Volume 21, Issue 1 January 2003 , pages 1 - 23
Formats available: HTML (English) : PDF (English)
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Abstract

Some problems about the asymptotics of the first-passage time of a one-dimensional diffusion process through a stochastic, as well as deterministic one-sided boundary are studied, generalizing the analogous results found by Peskir and Shiryaev for Brownian motion.
Keywords: First-passage time; Stochastic boundary; Diffusion process; Brownian motion; Primary 60J60; Secondary 60J99; 60H10
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