{"paper":{"title":"Small-time asymptotics of stopped L\\'evy bridges and simulation schemes with controlled bias","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.CP"],"primary_cat":"math.PR","authors_text":"Jos\\'e E. Figueroa-L\\'opez, Peter Tankov","submitted_at":"2012-03-11T17:46:41Z","abstract_excerpt":"We characterize the small-time asymptotic behavior of the exit probability of a L\\'evy process out of a two-sided interval and of the law of its overshoot, conditionally on the terminal value of the process. The asymptotic expansions are given in the form of a first-order term and a precise computable error bound. As an important application of these formulas, we develop a novel adaptive discretization scheme for the Monte Carlo computation of functionals of killed L\\'evy processes with controlled bias. The considered functionals appear in several domains of mathematical finance (e.g., structu"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1203.2355","kind":"arxiv","version":4},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}