Improving Brownian approximations for boundary crossing problems

DOI10.3150/11-BEJ396zbMATH Open1270.60053arXiv1301.7625MaRDI QIDQ1940752FDOQ1940752

Authors: Robert W. Keener 

Publication date: 7 March 2013

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Donsker's theorem shows that random walks behave like Brownian motion in an asymptotic sense. This result can be used to approximate expectations associated with the time and location of a random walk when it first crosses a nonlinear boundary. In this paper, correction terms are derived to improve the accuracy of these approximations.

Full work available at URL: https://arxiv.org/abs/1301.7625

Recommendations

• Boundary crossing probability for Brownian motion and general boundaries
• Brownian Type Boundary Crossing Probabilities for Piecewise Linear Boundary Functions
• Boundary crossing probability for Brownian motion
• Approximations of boundary crossing probabilities for a Brownian motion
• Asymptotic approximations for Brownian motion boundary hitting times

zbMATH Keywords

random walkBrownian motionhitting timesstopping timesDonsker's theorem

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Probabilistic potential theory (60J45)

Cites Work

• Title not available (Why is that?)
• Sequential analysis. Tests and confidence intervals
• A continuity correction for discrete barrier options
• Title not available (Why is that?)
• Title not available (Why is that?)
• On Characteristic Functions and Renewal Theory
• Diffusions and Elliptic Operators
• Title not available (Why is that?)
• Connecting discrete and continuous path-dependent options
• Particle trajectories in nonlinear capillary waves
• Title not available (Why is that?)
• A Local Limit Theorem for Nonlattice Multi-Dimensional Distribution Functions
• Corrected diffusion approximations in certain random walk problems
• Quadrature routines for ladder variables
• Corrected Diffusion Approximations for a Multistage Production-Inventory System
• Brownian approximations to first passage probabilities
• Comments on a problem of Chernoff and Petkau
• Title not available (Why is that?)
• Comment on ‘Corrected diffusion approximations in certain random walk problems'
• Second-order corrections for Brownian motion approximations to first-passage probabilities

Cited In (4)

• Corrected random walk approximations to free boundary problems in optimal stopping
• Continuity correction: on the pricing of discrete double barrier options
• Algorithms for Brownian dynamics across discontinuities
• Recovering a distribution from its translated fractional moments

This page was built for publication: Improving Brownian approximations for boundary crossing problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1940752)