Second-order approximations to the density, mean and variance of Brownian first-exit times

DOI10.1214/aop/1176993071zbMath0567.62068OpenAlexW1964457805MaRDI QIDQ1059969

Christel Jennen

Publication date: 1985

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176993071

zbMATH Keywords

meanvariancecorrection termsdriftsecond order approximationsdistribution of the first exit timetangent approximation

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10)

Related Items (9)

Asymptotic expansions for the variance of stopping times in nonlinear renewal theory ⋮ Tools to Estimate the First Passage Time to a Convex Barrier ⋮ Computations of boundary crossing probabilities for the wiener process ⋮ Exploring the state of a stochastic system via stochastic simulations: an interesting inversion problem and the health state function ⋮ The first exit time stochastic theory applied to estimate the life-time of a complicated system ⋮ Generalized Maximally Selected Statistics ⋮ Development, Simulation, and Application of First-Exit-Time Densities to Life Table Data ⋮ LERCHE'S SEQUENTIAL TEST FOR THE DRIFT OF A BROWNIAN MOTION WITH A SMOOTH PRIOR ⋮ On excursion sets, tube formulas and maxima of random fields.

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