Approximation to the exit probability of a continuous Gaussian process over a U-shaped boundary of increasing curvature (Q4842818)
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scientific article; zbMATH DE number 786297
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| English | Approximation to the exit probability of a continuous Gaussian process over a U-shaped boundary of increasing curvature |
scientific article; zbMATH DE number 786297 |
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Approximation to the exit probability of a continuous Gaussian process over a U-shaped boundary of increasing curvature (English)
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15 January 1996
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boundary crossing probability
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Slepian's lemma
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numerical examples
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Brownian motion
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Gaussian processes
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0.8098622560501099
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0.8076937198638916
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0.8069725036621094
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0.8037519454956055
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