Explicit asymptotics on first passage times of diffusion processes
Work
Year: 2020
Type: article
Abstract: We introduce a unified framework for solving first passage times of time-homogeneous diffusion processes. According to the killed version potential theory and the perturbation theory, we are able to d... more
Source: Advances in Applied Probability
Authors Angelos Dassios, Luting Li
Institution London School of Economics and Political Science
Cites: 67
Cited by: 2
Related to: 10
FWCI: 0.218
Citation percentile (by year/subfield): 63.72
Subfield: Finance
Domain: Social Sciences
Open Access status: green