Boundary crossing probability for Brownian motion and general boundaries (Q4339247)
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scientific article; zbMATH DE number 1018279
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Boundary crossing probability for Brownian motion and general boundaries |
scientific article; zbMATH DE number 1018279 |
Statements
Boundary crossing probability for Brownian motion and general boundaries (English)
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2 November 1997
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Wiener process
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first passage time
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optimal stopping time
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structural change
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local power
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numerical computation
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Monte Carlo simulation
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