Brownian approximations to first passage probabilities

DOI10.1007/BF00531747zbMath0485.60064OpenAlexW1994231486MaRDI QIDQ3945332

Yih-Shyh Yuh, David O. Siegmund

Publication date: 1982

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

Full work available at URL: https://doi.org/10.1007/bf00531747

zbMATH Keywords

stopping timeEdgeworth expansionsrate of convergence to normalityBrownian approximationsfirst passage probabilities

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)

Related Items (10)

Weak approximation of killed diffusion using Euler schemes. ⋮ Uniform Markov renewal theory and ruin probabilities in Markov random walks. ⋮ Strong approximations of renewal processes and their applications ⋮ A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options ⋮ The Istanbul option: Where the standard European option becomes Asian ⋮ Improving Brownian approximations for boundary crossing problems ⋮ On Markov chain approximations for computing boundary crossing probabilities of diffusion processes ⋮ Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme ⋮ Stopped diffusion processes: boundary corrections and overshoot ⋮ An upper bound for the accuracy of the Wiener process approximation of the error probabilities of the SPRT

Cites Work

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• Large deviations for boundary crossing probabilities
• Functional central limit theorems for random walks conditioned to stay positive
• A Modification of the Sequential Probability Ratio Test to Reduce the Sample Size
• Corrected diffusion approximations in certain random walk problems
• Second-order corrections for Brownian motion approximations to first-passage probabilities
• Some Limit Theorems for Large Deviations

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