Taylor expansions for time-dependent boundary crossing probabilities of diffusion processes
Speaker: Vincent Liang
Affiliation: City University of Hong Kong
Abstract
We consider the classical problem of obtaining representations for the probability $F(g)$ that a one-dimensional diffusion process does not cross a time-dependent boundary $g$ in a finite time horizon. We obtain a Taylor series representation for the functional $F(g)$, where the series summands are expressed in terms of deterministic multiple integrals of the Veretennikov-Krylov type.
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