Estimates for first exit times of non-Markovian Ito processes

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.

Bibliographic Details
Main Author: Dokuchaev, Nikolai
Format: Journal Article
Published: Taylor & Francis 2008
Subjects:
first exit times
Ito processes
non-Markovian
path-wise properties
Online Access:http://hdl.handle.net/20.500.11937/36870

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