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First passage probabilities of one-dimensional diffusion processes
  • 时间:0
  • 分类:O211.6[理学—概率论与数理统计;理学—数学] O211.62[理学—概率论与数理统计;理学—数学]
  • 作者机构:[1]School of Mathematical Sciences, Beijing Normal University, Beijing 100875, China, [2]College of Mathematics and Computer Science, Shanxi Normal University,Linfen 041000, China
  • 相关基金: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.
中文摘要:

这个工作被奉献给计算一个维的散开过程的第一经过可能性。为一个一个维的散开过程,我们构造 Markov 链的一个序列以便他们的吸收可能性接近给定的散开过程的第一经过可能性。当处理时间依赖者边界时,这个方法是特别有用的。

英文摘要:

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.

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