Boundary crossing probability for Brownian motion and general boundaries
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Publication:4339247
DOI10.2307/3215174zbMath0874.60034OpenAlexW2082756680MaRDI QIDQ4339247
Liqun Wang, Klaus Pötzelberger
Publication date: 2 November 1997
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/c1162c4f1dcff5929ddcc6df882c50727296af47
Wiener processMonte Carlo simulationnumerical computationfirst passage timeoptimal stopping timestructural changelocal power
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