The Hazard Rate Tangent Approximation for Boundary Hitting Times

Citation
O. Roberts, G. et F. Shortland, C., The Hazard Rate Tangent Approximation for Boundary Hitting Times, Annals of applied probability , 5(2), 1995, pp. 446-460
ISSN journal
10505164
Volume
5
Issue
2
Year of publication
1995
Pages
446 - 460
Database
ACNP
SICI code
Abstract
We consider the problem of estimating first exit distributions for one-dimensional diffusion processes. We provide analytic bounds and an approximation which is shown to be accurate in a range of numerical examples involving Brownian motion.