Boundary crossing probability for Brownian motion and general boundaries
From MaRDI portal
Publication:4339247
Recommendations
- Boundary crossing probability for Brownian motion
- Stochastic boundary crossing probabilities for the Brownian motion
- Boundary crossing result for the brownian motion
- Approximations of boundary crossing probabilities for a Brownian motion
- A boundary-crossing result for Brownian motion
- Boundary crossing probabilities for high-dimensional Brownian motion
Cited in
(69)- On the empirical estimator of the boundary in inverse first-exit problems
- On Markov chain approximations for computing boundary crossing probabilities of diffusion processes
- Flexing the default barrier
- The moving-eigenvalue method: hitting time for Itô processes and moving boundaries
- First passage density of Brownian motion with two-sided piecewise linear boundaries
- The first passage time on the (reflected) Brownian motion with broken drift hitting a random boundary
- On some generalized American style derivatives
- Approximation to the exit probability of a continuous Gaussian process over a U-shaped boundary of increasing curvature
- Another visit to two halflines
- First hitting time distributions for Brownian motion and regions with piecewise linear boundaries
- Improving the Monte Carlo estimation of boundary crossing probabilities by control variables
- Exact asymptotics for boundary crossings of the Brownian bridge with trend with application to the Kolmogorov test
- Crossing probabilities for diffusion processes with piecewise continuous boundaries
- Stochastic boundary crossing probabilities for the Brownian motion
- The first crossing-time density for Brownian motion with perturbed linear boundary
- First hitting time of Brownian motion on simple graph with skew semiaxes
- On the computation of the survival probability of Brownian motion with drift in a closed time interval when the absorbing boundary is a step function
- Linear bundary crossing probability for standard Brownian motion
- Numerical approximations to distributions of weighted Kolmogorov-Smirnov statistics via integral equations
- Analytic crossing probabilities for certain barriers by Brownian motion
- Boundary non-crossing probabilities for fractional Brownian motion with trend
- Exact simulation of the first-passage time of diffusions
- Taylor expansions of curve-crossing probabilities
- Boundary crossing probabilities of jump diffusion processes to time-dependent boundaries
- Boundary crossing probabilities for high-dimensional Brownian motion
- Linear programming and the inverse method of images
- A fast algorithm for the first-passage times of Gauss-Markov processes with Hölder continuous boundaries
- The first rendezvous time of Brownian motion and compound Poisson-type processes
- On the first exit time of geometric Brownian motion from stochastic exponential boundaries
- A Structural Model with Unobserved Default Boundary
- Remarks on “boundary crossing result for brownian motion”
- Stochastic integrate and fire models: a review on mathematical methods and their applications
- An Excursion characterization of the first hitting time of Brownian motion in a smooth boundary
- First passage probabilities of one-dimensional diffusion processes
- Boundary crossing probability for Brownian motion
- Exploring the state of a stochastic system via stochastic simulations: an interesting inversion problem and the health state function
- Boundary non-crossings of Brownian pillow
- Boundary noncrossings of additive Wiener fields
- On the inverse first-passage-time problem for a Wiener process
- Non-crossing Brownian paths and Dyson Brownian motion under a moving boundary
- Levels of crossing probability for Brownian motion
- Estimates of the exit probability for two correlated Brownian motions
- Bounds and approximations for distributions of weighted Kolmogorov-Smirnov tests
- A simple model for market booms and crashes
- On transition and first hitting time densities and moments of the Ornstein-Uhlenbeck process
- On Brownian paths connecting boundary points
- Improving Brownian approximations for boundary crossing problems
- Sensitivity of boundary crossing probabilities of the Brownian motion
- Brownian Type Boundary Crossing Probabilities for Piecewise Linear Boundary Functions
- Boundary crossing probabilities for general exponential families
- A boundary-crossing result for Brownian motion
- An Asymptotic Result for Non Crossing Probabilities of Brownian Motion with Trend
- Boundary crossing probabilities for \((q,d)\)-Slepian-processes
- Brownian motion hitting probabilities for general two-sided square-root boundaries
- A new approach for pricing discounted American options
- First passage time for Brownian motion and piecewise linear boundaries
- Approximations of boundary crossing probabilities for a Brownian motion
- Alternative boundaries for CUSUM tests
- Linear and nonlinear boundary crossing probabilities for Brownian motion and related processes
- Joint distribution of first exit times of a two dimensional Wiener process with jumps with application to a pair of coupled neurons
- Boundary non-crossing probabilities for Slepian process
- Approximation of the first passage time density of a Wiener process to an exponentially decaying boundary by two-piecewise linear threshold. Application to neuronal spiking activity
- A note on Erdős and Kac's identity: boundary crossing probabilities of Brownian motion over constant boundaries. A finite Markov chain imbedding approach
- Some conditional crossing results of Brownian motion over a piecewise-linear boundary
- A characterization of the first hitting time of double integral processes to curved boundaries
- Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis
- Hitting time in Erlang loss systems with moving boundaries
- Market frictions and corporate finance: an overview paper
- Explicit Bounds for Approximation Rates of Boundary Crossing Probabilities for the Wiener Process
This page was built for publication: Boundary crossing probability for Brownian motion and general boundaries
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4339247)
