Approximations of boundary crossing probabilities for a Brownian motion (Q4954235)
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scientific article; zbMATH DE number 1449137
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximations of boundary crossing probabilities for a Brownian motion |
scientific article; zbMATH DE number 1449137 |
Statements
Approximations of boundary crossing probabilities for a Brownian motion (English)
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15 January 2002
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first passage times
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Wiener process
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Girsanov transformation
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piecewise linear approximations
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numerical integration.
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Brownian motion
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