Computations of boundary crossing probabilities for the wiener process

DOI10.1080/00949658708810984zbMATH Open0622.60090OpenAlexW2091147204MaRDI QIDQ3759651FDOQ3759651

Authors: Clive R. Loader, John J. Deely 

Publication date: 1987

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658708810984

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zbMATH Keywords

Wiener processVolterra integral equationsnumerical solutionsfirst passage time distributions

Mathematics Subject Classification ID

Brownian motion (60J65) Numerical methods for integral equations (65R20)

Cites Work

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• Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test
• The tangent approximation to one-sided Brownian exit densities
• Evaluations of barrier-crossing probabilities of Wiener paths
• Second-order approximations to the density, mean and variance of Brownian first-exit times

Cited In (5)

• On Markov chain approximations for computing boundary crossing probabilities of diffusion processes
• Capacity estimates, boundary crossings and the Ornstein-Uhlenbeck process in Wiener space
• Boundaries with negative jumps for the Brownian motion
• A lower bound for the first passage time density of the suprathreshold Ornstein-Uhlenbeck process
• First passage time for Brownian motion and piecewise linear boundaries

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