First Passage Densities and Boundary Crossing Probabilities for Diffusion Processes

@inproceedings{Downes2008FirstPD,
  title={First Passage Densities and Boundary Crossing Probabilities for Diffusion Processes},
  author={Andrew N. Downes and Konstantin Borovkov},
  year={2008}
}
We consider the boundary crossing problem for time-homogeneous diffusions and general curvilinear boundaries. Bounds are derived for the approximation error of the one-sided (upper) boundary crossing probability when replacing the original boundary by a different one. In doing so we establish the existence of the firstpassage time density and provide an upper bound for this function. In the case of processes with diffusion interval equal to R this is extended to a lower bound, as well as bounds… CONTINUE READING

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