Estimates for first exit times of non-Markovian Ito processes
| dc.contributor.author | Dokuchaev, Nikolai | |
| dc.date.accessioned | 2017-01-30T13:58:12Z | |
| dc.date.available | 2017-01-30T13:58:12Z | |
| dc.date.created | 2015-07-16T06:22:02Z | |
| dc.date.issued | 2008 | |
| dc.identifier.citation | 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. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/36870 | |
| dc.identifier.doi | 10.1080/17442500701672197 | |
| dc.description.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. | |
| dc.publisher | Taylor & Francis | |
| dc.subject | first exit times | |
| dc.subject | Ito processes | |
| dc.subject | non-Markovian | |
| dc.subject | path-wise properties | |
| dc.title | Estimates for first exit times of non-Markovian Ito processes | |
| dc.type | Journal Article | |
| dcterms.source.volume | 80 | |
| dcterms.source.startPage | 397 | |
| dcterms.source.endPage | 408 | |
| dcterms.source.issn | 17442508 | |
| dcterms.source.title | Stochastics: an international journal of probablity and stochastic processes | |
| curtin.department | Department of Mathematics and Statistics | |
| curtin.accessStatus | Open access |