Estimates for first exit times of non-Markovian Ito processes
First exit times and their path-wise dependence on trajectories are studied for non-Markovian Itô processes. Estimates of distances between two exit times are obtained. In particular, it follows that first exit times of two Itô processes are close if their trajectories are close.
| Main Author: | |
|---|---|
| Format: | Journal Article |
| Published: |
Taylor & Francis
2008
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/36870 |
| _version_ | 1848754891033411584 |
|---|---|
| author | Dokuchaev, Nikolai |
| author_facet | Dokuchaev, Nikolai |
| author_sort | Dokuchaev, Nikolai |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | First exit times and their path-wise dependence on trajectories are studied for non-Markovian Itô processes. Estimates of distances between two exit times are obtained. In particular, it follows that first exit times of two Itô processes are close if their trajectories are close. |
| first_indexed | 2025-11-14T08:47:36Z |
| format | Journal Article |
| id | curtin-20.500.11937-36870 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:47:36Z |
| publishDate | 2008 |
| publisher | Taylor & Francis |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-368702017-09-13T15:21:50Z Estimates for first exit times of non-Markovian Ito processes Dokuchaev, Nikolai first exit times Ito processes non-Markovian path-wise properties First exit times and their path-wise dependence on trajectories are studied for non-Markovian Itô processes. Estimates of distances between two exit times are obtained. In particular, it follows that first exit times of two Itô processes are close if their trajectories are close. 2008 Journal Article http://hdl.handle.net/20.500.11937/36870 10.1080/17442500701672197 Taylor & Francis fulltext |
| spellingShingle | first exit times Ito processes non-Markovian path-wise properties Dokuchaev, Nikolai Estimates for first exit times of non-Markovian Ito processes |
| title | Estimates for first exit times of non-Markovian Ito processes |
| title_full | Estimates for first exit times of non-Markovian Ito processes |
| title_fullStr | Estimates for first exit times of non-Markovian Ito processes |
| title_full_unstemmed | Estimates for first exit times of non-Markovian Ito processes |
| title_short | Estimates for first exit times of non-Markovian Ito processes |
| title_sort | estimates for first exit times of non-markovian ito processes |
| topic | first exit times Ito processes non-Markovian path-wise properties |
| url | http://hdl.handle.net/20.500.11937/36870 |