Université Paris 6
Pierre et Marie Curie
Université Paris 7
Denis Diderot

CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

Asymptotics of hitting probabilities for general one-dimensional pinned diffusions

Auteur(s):

Code(s) de Classification MSC:

Résumé: We consider a general 1-dimensional diffusion process and we study the probability of crossing a boundary for the associated pinned diffusion as the time at which the conditioning takes place goes to zero. We provide asymptotics for this probability as well as a first order development. Also the cases of two boundaries and/or depending on the time is considered. We give applications to simulation.

Mots Clés: Conditioned diffusions ; sharp large deviation estimates ; exit time probabilities

Date: 2000-12-08

Prépublication numéro: PMA-627