Evaluations of barrier-crossing probabilities of Wiener paths

DOI10.2307/3212830zbMath0344.60047OpenAlexW2322669081MaRDI QIDQ4113202

F. J. Schuurmann, Chull Park

Publication date: 1976

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3212830

Mathematics Subject Classification ID

Brownian motion (60J65)

Related Items (15)

The tangent approximation to one-sided Brownian exit densities ⋮ A Feynman-Kac based numerical method for the exit time probability of a class of transport problems ⋮ 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 ⋮ Computations of boundary crossing probabilities for the wiener process ⋮ On Markov chain approximations for computing boundary crossing probabilities of diffusion processes ⋮ Numerical evaluation of dynamic behavior of Ornstein-Uhlenbeck processes modified by various boundaries and its application to pricing barrier options ⋮ A Transition to Sharp Timing in Stochastic Leaky Integrate-and-Fire Neurons Driven by Frozen Noisy Input ⋮ One pursuer and two evaders on the line: A stochastic pursuit-evasion differential game ⋮ On integral equations arising in the first-passage problem for Brownian motion ⋮ Interest and mortality randomness in some annuities ⋮ American options and callable bonds under stochastic interest rates and endogenous bankruptcy ⋮ Extra randomness in certain annuity models ⋮ Refined distributions for a multi-risk stochastic process ⋮ Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model ⋮ An asymptotic expansion for one-sided Brownian exit densities

This page was built for publication: Evaluations of barrier-crossing probabilities of Wiener paths