Linear and Nonlinear Boundary Crossing Probabilities for Brownian Motion and Related Processes
DOI10.1239/jap/1294170519zbMath1208.60080OpenAlexW2083803074MaRDI QIDQ3067846
Publication date: 13 January 2011
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/1294170519
discretizationfinite Markov chain imbeddingBrownian motiondiffusion processrandom walkfirst passage timeboundary crossing probability
Brownian motion (60J65) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Related Items (11)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The Ornstein-Uhlenbeck process as a model for neuronal activity. I. Mean and variance of the firing time
- Boundary crossing probabilities and statistical applications
- Über die analytischen Methoden in der Wahrscheinlichkeitsrechnung
- Approximating the first crossing-time density for a curved boundary
- Crossing probabilities for diffusion processes with piecewise continuous boundaries
- Boundary crossing probability for Brownian motion
- A Modification of the Sequential Probability Ratio Test to Reduce the Sample Size
- On the Transformation of Diffusion Processes into the Wiener Process
- The first-passage density of the Brownian motion process to a curved boundary
- A boundary-crossing result for Brownian motion
- Boundary crossing probability for Brownian motion and general boundaries
- Pricing Barrier Options with Time–Dependent Coefficients
- On evaluations and asymptotic approximations of first-passage-time probabilities
- Approximations of boundary crossing probabilities for a Brownian motion
- Explicit Bounds for Approximation Rates of Boundary Crossing Probabilities for the Wiener Process
- The minimum of a stationary Markov process superimposed on a U-shaped trend
- On the Speed of Convergence in a Boundary Problem. II
- On the Speed of Convergence in a Boundary Problem. I
- Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test
- Boundary Crossing Probabilities for the Wiener Process and Sample Sums
- Random Walk and the Theory of Brownian Motion
This page was built for publication: Linear and Nonlinear Boundary Crossing Probabilities for Brownian Motion and Related Processes