Non-explicit formula of boundary crossing probabilities by the Girsanov theorem

IF 0.8 4区 数学 Q3 STATISTICS & PROBABILITY
Yoann Potiron
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引用次数: 0

Abstract

This paper derives several formulae for the probability that a Wiener process, which has a stochastic drift and random variance, crosses a one-sided stochastic boundary within a finite time interval. A non-explicit formula is first obtained by the Girsanov theorem when considering an equivalent probability measure in which the boundary is constant and equal to its starting value. A more explicit formula is then achieved by decomposing the Radon–Nikodym derivative inverse. This decomposition expresses it as the product of a random variable, which is measurable with respect to the Wiener process’s final value, and an independent random variable. We also provide an explicit formula based on a strong theoretical assumption. To apply the Girsanov theorem, we assume that the difference between the drift increment and the boundary increment, divided by the standard deviation, is absolutely continuous. Additionally, we assume that its derivative satisfies Novikov’s condition.

用格萨诺夫定理求边界穿越概率的非显式公式
本文导出了具有随机漂移和随机方差的Wiener过程在有限时间间隔内越过单侧随机边界的概率的几个公式。在考虑边界为常数且等于其起始值的等效概率测度时,首先由Girsanov定理得到一个非显式公式。然后通过分解Radon-Nikodym导数逆得到一个更明确的公式。这种分解将其表示为一个随机变量(相对于维纳过程的最终值可测量)和一个独立随机变量的乘积。我们还提供了一个基于强有力的理论假设的明确公式。为了应用Girsanov定理,我们假设漂移增量和边界增量之间的差除以标准差是绝对连续的。另外,我们假定它的导数满足Novikov条件。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
2.00
自引率
0.00%
发文量
39
审稿时长
6-12 weeks
期刊介绍: Annals of the Institute of Statistical Mathematics (AISM) aims to provide a forum for open communication among statisticians, and to contribute to the advancement of statistics as a science to enable humans to handle information in order to cope with uncertainties. It publishes high-quality papers that shed new light on the theoretical, computational and/or methodological aspects of statistical science. Emphasis is placed on (a) development of new methodologies motivated by real data, (b) development of unifying theories, and (c) analysis and improvement of existing methodologies and theories.
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