Improving Brownian approximations for boundary crossing problems (Q1940752)
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scientific article
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| English | Improving Brownian approximations for boundary crossing problems |
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Improving Brownian approximations for boundary crossing problems (English)
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7 March 2013
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The author derives correction terms of order \(\operatorname{o}\bigl(1/\sqrt n\bigr)\) for the approximate expectations \(\operatorname{E}f(\tau_n,W_n(\tau_n))\) associated with the time and location of a random walk when it first crosses a smooth nonlinear boundary.
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Donsker's theorem
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random walk
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stopping times
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hitting times
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Brownian motion
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0.8033909797668457
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0.7859309315681458
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0.7844499349594116
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0.7828190922737122
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0.7787549495697021
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