Second-order approximations to the density, mean and variance of Brownian first-exit times (Q1059969): Difference between revisions
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Revision as of 01:53, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Second-order approximations to the density, mean and variance of Brownian first-exit times |
scientific article |
Statements
Second-order approximations to the density, mean and variance of Brownian first-exit times (English)
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1985
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Let W be a Brownian motion with drift \(\theta\), and let \(T=\inf \{t>0:\quad W(t)\geq \psi (t)\}.\) Under suitable conditions on \(\psi\) (t) the author obtains second order approximations to the density, mean and variance of the distribution of the first exit time T. Several examples including some in connection with sequential tests are discussed.
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correction terms
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tangent approximation
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drift
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second order approximations
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mean
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variance
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distribution of the first exit time
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