Asymptotics for the Survival Probability of Time-Inhomogeneous Diffusion Processes

This paper develops an analytical approach to compute the explicit asymptotic formulas for the probability that a time-inhomogeneous diffusion process does not cross a non-flat, lower/upper boundary. We derive the explicit formulas for the first four terms and provide the error bound. The accuracy of the approximation is demonstrated by numerical experiments

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Year of publication:	[2023]
Authors:	Wang, Yiwei ; Yang, Nian
Publisher:	[S.l.] : SSRN
Subject:	Wahrscheinlichkeitsrechnung \| Probability theory \| Stochastischer Prozess \| Stochastic process \| Schätztheorie \| Estimation theory

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