Estimates for first exit times of non-Markovian Ito processes
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Open access
Authors
Dokuchaev, Nikolai
Date
2008Type
Journal Article
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Dokuchaev, N. 2008. Estimates for first exit times of non-Markovian Ito processes. Stochastics: an international journal of probablity and stochastic processes. 80 (4): pp. 397-408.
Source Title
Stochastics: an international journal of probablity and stochastic processes
ISSN
School
Department of Mathematics and Statistics
Collection
Abstract
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.
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