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

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.
6
323
341
Stochastic order; first passage time; diffusion process
Sacerdote L.; Smith C.E
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/2318/9709
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