Computations of boundary crossing probabilities for the wiener process

DOI10.1080/00949658708810984MaRDI QIDQ3759651zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Wiener processVolterra integral equationsnumerical solutionsfirst passage time distributions

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3127824 (Why is no real title available?)
• scientific article; zbMATH DE number 3581570 (Why is no real title available?)
• scientific article; zbMATH DE number 3240796 (Why is no real title available?)
• Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test
• Evaluations of barrier-crossing probabilities of Wiener paths
• Second-order approximations to the density, mean and variance of Brownian first-exit times
• The tangent approximation to one-sided Brownian exit densities

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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