Approximate exit probabilities for a Brownian bridge on a short time interval, and applications

DOI10.2307/1427195zbMath0681.60072OpenAlexW4239955410MaRDI QIDQ4730572

Hans Rudolf Lerche, David O. Siegmund

Publication date: 1989

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

Full work available at URL: https://doi.org/10.2307/1427195

zbMATH Keywords

Kac's programtrace of the heat kernel

Mathematics Subject Classification ID

Probabilistic potential theory (60J45)

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Simulating diffusion processes in discontinuous media: a numerical scheme with constant time steps ⋮ BOUNDARY CROSSING PROBABILITIES FOR THE CUMULATIVE SAMPLE MEAN ⋮ Expected volume of intersection of pinned Wiener sausages and heat kernel norms on compact Riemannian manifolds with boundary ⋮ Exact approximation rate of killed hypoelliptic diffusions using the discrete Euler scheme ⋮ Simulation of stopped diffusions ⋮ On excursion sets, tube formulas and maxima of random fields.

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