Boundary crossing probability for Brownian motion and general boundaries

DOI10.2307/3215174zbMATH Open0874.60034OpenAlexW2082756680MaRDI QIDQ4339247FDOQ4339247

Authors: Liqun Wang, Klaus Pötzelberger 

Publication date: 2 November 1997

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/c1162c4f1dcff5929ddcc6df882c50727296af47

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zbMATH Keywords

Wiener processMonte Carlo simulationfirst passage timeoptimal stopping timenumerical computationstructural changelocal power

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (67)

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• A new approach for pricing discounted American options
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• Some conditional crossing results of Brownian motion over a piecewise-linear boundary
• An Excursion characterization of the first hitting time of Brownian motion in a smooth boundary
• Boundary noncrossings of additive Wiener fields
• An Asymptotic Result for Non Crossing Probabilities of Brownian Motion with Trend
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• Numerical approximations to distributions of weighted Kolmogorov-Smirnov statistics via integral equations
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• Stochastic Integrate and Fire Models: A Review on Mathematical Methods and Their Applications
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• A simple model for market booms and crashes
• A boundary-crossing result for Brownian motion
• Non-crossing Brownian paths and Dyson Brownian motion under a moving boundary
• Exact asymptotics for boundary crossings of the Brownian bridge with trend with application to the Kolmogorov test
• First passage probabilities of one-dimensional diffusion processes
• Boundary crossing probabilities for \((q,d)\)-Slepian-processes
• Explicit Bounds for Approximation Rates of Boundary Crossing Probabilities for the Wiener Process
• Remarks on “boundary crossing result for brownian motion”
• On transition and first hitting time densities and moments of the Ornstein-Uhlenbeck process
• On the inverse first-passage-time problem for a Wiener process
• The first passage time on the (reflected) Brownian motion with broken drift hitting a random boundary
• Bounds and Approximations for Distributions of Weighted Kolmogorov-Smirnov Tests
• A note on Erdős and Kac's identity: boundary crossing probabilities of Brownian motion over constant boundaries. A finite Markov chain imbedding approach
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• 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
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• Hitting time in Erlang loss systems with moving boundaries
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• A fast algorithm for the first-passage times of Gauss-Markov processes with Hölder continuous boundaries
• A Structural Model with Unobserved Default Boundary
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• Exploring the state of a stochastic system via stochastic simulations: an interesting inversion problem and the health state function
• Boundary non-crossing probabilities for fractional Brownian motion with trend
• Joint distribution of first exit times of a two dimensional Wiener process with jumps with application to a pair of coupled neurons
• On the first exit time of geometric Brownian motion from stochastic exponential boundaries
• Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis
• Estimates of the exit probability for two correlated Brownian motions
• Improving Brownian approximations for boundary crossing problems
• Boundary non-crossing probabilities for Slepian process
• First hitting time distributions for Brownian motion and regions with piecewise linear boundaries
• Taylor expansions of curve-crossing probabilities
• Levels of crossing probability for Brownian motion
• A characterization of the first hitting time of double integral processes to curved boundaries
• Sensitivity of boundary crossing probabilities of the Brownian motion
• First passage time for Brownian motion and piecewise linear boundaries
• Boundary crossing probabilities for high-dimensional Brownian motion
• Approximations of boundary crossing probabilities for a Brownian motion
• Crossing probabilities for diffusion processes with piecewise continuous boundaries
• The first crossing-time density for Brownian motion with perturbed linear boundary
• The first rendezvous time of Brownian motion and compound Poisson-type processes
• Linear and nonlinear boundary crossing probabilities for Brownian motion and related processes
• On Markov chain approximations for computing boundary crossing probabilities of diffusion processes
• Another visit to two halflines
• First passage density of Brownian motion with two-sided piecewise linear boundaries
• The moving-eigenvalue method: hitting time for Itô processes and moving boundaries
• Approximation to the exit probability of a continuous Gaussian process over a U-shaped boundary of increasing curvature
• On the empirical estimator of the boundary in inverse first-exit problems
• On some generalized American style derivatives
• Flexing the default barrier

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