The tangent approximation to one-sided Brownian exit densities

DOI10.1007/BF00539832MaRDI QIDQ3965366zbMATH OpenOpenAlexFDO

Authors Brooks Ferebee

Publication date 1982

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00539832

zbMATH Keywords

error boundsmoving boundaryfirst-exit timetangent approximation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Asymptotic distribution theory in statistics (62E20) Brownian motion (60J65)

Cites work

• scientific article; zbMATH DE number 3542688 (Why is no real title available?)
• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• scientific article; zbMATH DE number 3320019 (Why is no real title available?)
• Asymptotic densities of stopping times associated with tests of power one
• 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
• First exit densities of Brownian motion through one-sided moving boundaries
• The first-passage density of a continuous gaussian process to a general boundary

Cited in

(17)

• An Excursion characterization of the first hitting time of Brownian motion in a smooth boundary
• LERCHE'S SEQUENTIAL TEST FOR THE DRIFT OF A BROWNIAN MOTION WITH A SMOOTH PRIOR
• A Feynman-Kac based numerical method for the exit time probability of a class of transport problems
• Uniqueness of first passage time distributions via Fredholm integral equations
• First passage probabilities of one-dimensional diffusion processes
• Efficient inference in first passage time models
• The First-passage Time of the Brownian Motion to a Curved Boundary: an Algorithmic Approach
• A structure-preserving method for the distribution of the first hitting time to a moving boundary for some Gaussian processes
• An asymptotic expansion for one-sided Brownian exit densities
• Asymptotic densities of stopping times associated with tests of power one
• On integral equations arising in the first-passage problem for Brownian motion
• Combinatorial devices for sequential analysis
• Development, simulation, and application of first-exit-time densities to life table data
• Tools to Estimate the First Passage Time to a Convex Barrier
• First passage time for Brownian motion and piecewise linear boundaries
• Crossing probabilities for diffusion processes with piecewise continuous boundaries
• Computations of boundary crossing probabilities for the wiener process

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