Improving Brownian approximations for boundary crossing problems (Q1940752): Difference between revisions
From MaRDI portal
Removed claim: author (P16): Item:Q900930 |
Changed an Item |
||
| Property / author | |||
| Property / author: Robert W. Keener / rank | |||
Normal rank | |||
Revision as of 11:50, 21 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Improving Brownian approximations for boundary crossing problems |
scientific article |
Statements
Improving Brownian approximations for boundary crossing problems (English)
0 references
7 March 2013
0 references
The author derives correction terms of order \(\operatorname{o}\bigl(1/\sqrt n\bigr)\) for the approximate expectations \(\operatorname{E}f(\tau_n,W_n(\tau_n))\) associated with the time and location of a random walk when it first crosses a smooth nonlinear boundary.
0 references
Donsker's theorem
0 references
random walk
0 references
stopping times
0 references
hitting times
0 references
Brownian motion
0 references
