Add to ORKGTo appear in the proceedings volume of Kolmogorov Operators and their Applications.In line with the methodology introduced in our recent article for formulating probabilistic representations of integration by parts involving killed diffusion, we establish an integration by parts formula for the first exit time of one-dimensional diffusion processes. However, our approach diverges from the conventional differential calculus applied to the associated space Markov chain; instead, we employ calculus techniques that focus on the underlying time variables
A one-dimensional process with continuous trajectories on non-negative semi-axis is considered. The...
International audienceWe establish an integration by parts formula based on jumps times in an abstra...
The first-passage-time through a time-dependent boundary for one-dimensional diffusion processes is ...
To appear in the proceedings volume of Kolmogorov Operators and their Applications.In line with the ...
38 pages. Accepted for publication in the Electronic Journal of Probability.In this paper, we establ...
We investigate the exit times from an interval for a general one-dimensional time-homogeneous diffus...
International audienceIn order to approximate the exit time of a one-dimensional diffusion process, ...
The simulation of exit times for diffusion processes is a challenging task since it concerns many ap...
In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorith...
In this note we study standard Euler updates for computing first exit times of general diffusions fr...
Motivated by some biological applications, a new integral equation is proposed to determine first-pa...
A one-dimensional process with continuous trajectories on non-negative semi-axis is considered. The...
International audienceWe establish an integration by parts formula based on jumps times in an abstra...
The first-passage-time through a time-dependent boundary for one-dimensional diffusion processes is ...
To appear in the proceedings volume of Kolmogorov Operators and their Applications.In line with the ...
38 pages. Accepted for publication in the Electronic Journal of Probability.In this paper, we establ...
We investigate the exit times from an interval for a general one-dimensional time-homogeneous diffus...
International audienceIn order to approximate the exit time of a one-dimensional diffusion process, ...
The simulation of exit times for diffusion processes is a challenging task since it concerns many ap...
In order to approximate the exit time of a one-dimensional diffusion process, we propose an algorith...
In this note we study standard Euler updates for computing first exit times of general diffusions fr...
Motivated by some biological applications, a new integral equation is proposed to determine first-pa...
A one-dimensional process with continuous trajectories on non-negative semi-axis is considered. The...
International audienceWe establish an integration by parts formula based on jumps times in an abstra...
The first-passage-time through a time-dependent boundary for one-dimensional diffusion processes is ...