This work is devoted to calculating the first passage probabilities of one-dimensional diffusion processes. For a one-dimensional diffusion process, we construct a sequence of Markov chains so that their absorption pr...This work is devoted to calculating the first passage probabilities of one-dimensional diffusion processes. For a one-dimensional diffusion process, we construct a sequence of Markov chains so that their absorption probabilities approximate the first passage probability of the given diffusion process. This method is especially useful when dealing with time-dependent boundaries.展开更多
In what follows, we consider the relation between Aldous's extended convergence and weak convergence of nitrations. We prove that, for a sequence (Xn) of J_t^n)-special semimartingales, with canonical decompositio...In what follows, we consider the relation between Aldous's extended convergence and weak convergence of nitrations. We prove that, for a sequence (Xn) of J_t^n)-special semimartingales, with canonical decomposition Xn = Mn + An, if the extended convergence (Xn.Jrn)→ (X,F.) holds with a quasi-left continuous (Ft)-special semimartingale X = M + A, then, under an additional assumption of uniform integrability,we get the convergence in probability under the Skorokhod topology: Mn→M and An→A.展开更多
基金This work was supported in part by the National Natural Science Foundation of Ghina (Grant Nos. 11301030, 11431014), the 985-Project, and the Beijing Higher Education Young Elite Teacher Project.
文摘This work is devoted to calculating the first passage probabilities of one-dimensional diffusion processes. For a one-dimensional diffusion process, we construct a sequence of Markov chains so that their absorption probabilities approximate the first passage probability of the given diffusion process. This method is especially useful when dealing with time-dependent boundaries.
文摘In what follows, we consider the relation between Aldous's extended convergence and weak convergence of nitrations. We prove that, for a sequence (Xn) of J_t^n)-special semimartingales, with canonical decomposition Xn = Mn + An, if the extended convergence (Xn.Jrn)→ (X,F.) holds with a quasi-left continuous (Ft)-special semimartingale X = M + A, then, under an additional assumption of uniform integrability,we get the convergence in probability under the Skorokhod topology: Mn→M and An→A.
基金This work was supported by the National Natural Science Foundation of China (Grand Nos. 10071003 and 19831020) and the Education Foundation of Yunnan Province, China.
文摘This paper proves the strong consistence and the central limit theorems for empirical right tail deviations.