First exit densities of Brownian motion through one-sided moving boundaries

DOI10.1007/BF00535156zbMath0447.60061MaRDI QIDQ3893075

Hans Rudolf Lerche, Christel Jennen

Publication date: 1981

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

zbMATH Keywords

moving boundariesapproximations for the power functions of sequential testsuniform approximations for the first exit densities

Mathematics Subject Classification ID

Brownian motion (60J65) Sequential statistical analysis (62L10)

Related Items (16)

The tangent approximation to one-sided Brownian exit densities ⋮ The first passage time problem over a moving boundary for asymptotically stable Lévy processes ⋮ Tools to Estimate the First Passage Time to a Convex Barrier ⋮ On the computation of the survival probability of Brownian motion with drift in a closed time interval when the absorbing boundary is a step function ⋮ Nonparametric functionals of spectral distributions and their applications to time series analy\-sis ⋮ Remarks on “boundary crossing result for brownian motion” ⋮ Indifference-Zone-Free Selection of the Best ⋮ Exploring the state of a stochastic system via stochastic simulations: an interesting inversion problem and the health state function ⋮ The first exit time stochastic theory applied to estimate the life-time of a complicated system ⋮ Development, Simulation, and Application of First-Exit-Time Densities to Life Table Data ⋮ LERCHE'S SEQUENTIAL TEST FOR THE DRIFT OF A BROWNIAN MOTION WITH A SMOOTH PRIOR ⋮ Maxima of asymptotically Gaussian random fields and moderate deviation approximations to boundary crossing probabilities of sums of random variables with multidimensional indices ⋮ First exit densities of Brownian motion through one-sided moving boundaries ⋮ Approximately Optimal Continuous Stopping Boundaries in a One-Sided Standard Sequential Test ⋮ Asymptotic densities of stopping times associated with tests of power one ⋮ Combinatorial devices for sequential analysis

Cites Work

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• A nonlinear renewal theory with applications to sequential analysis. I
• A product integration method for a class of singular first kind Volterra equations
• First exit densities of Brownian motion through one-sided moving boundaries
• Repeated Significance Tests for a Normal Mean

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