Conditions on the boundary and paramenters that produce the ordering of first passage time distributions of two different diffusion processes are proved making use of comparison theorems for stochastic differential equations. Three applications of interest in stochastic modeling are presented.
Almost sure comparisons for first passage times of diffusion processes through boundaries
SACERDOTE, Laura Lea;
2004-01-01
Abstract
Conditions on the boundary and paramenters that produce the ordering of first passage time distributions of two different diffusion processes are proved making use of comparison theorems for stochastic differential equations. Three applications of interest in stochastic modeling are presented.
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