A note on Erdős and Kac's identity: boundary crossing probabilities of Brownian motion over constant boundaries. A finite Markov chain imbedding approach

DOI10.1007/S11009-018-9686-4zbMATH Open1437.60043OpenAlexW2900129670MaRDI QIDQ2176388FDOQ2176388

Authors Tung-Lung Wu

Publication date 4 May 2020

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-018-9686-4

zbMATH Keywords

Brownian motionrandom walksfinite Markov chain imbeddingboundary crossing probabilitiesErdős and Kac's identity

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Brownian motion (60J65)

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Cites work

• scientific article; zbMATH DE number 1460605 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Boundary crossing probabilities and statistical applications
• Boundary crossing probabilities for high-dimensional Brownian motion
• Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test
• Discrete Sequential Boundaries for Clinical Trials
• Distribution theory of runs and patterns and its applications. A finite Markov chain imbedding approach
• Double barrier hitting time distributions with applications to exotic options
• Linear and nonlinear boundary crossing probabilities for Brownian motion and related processes
• On The Eigenvalues of Certain Hermitian Operators
• On certain limit theorems of the theory of probability
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Threshold regression for survival analysis: modeling event times by a stochastic process reaching a boundary

Cited in

(1)

• Boundary crossing probabilities of jump diffusion processes to time-dependent boundaries

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