Sequential tests constructed from images

DOI10.1214/AOS/1176345781MaRDI QIDQ1172361zbMATH OpenOpenAlexFDO

Authors Henry E. Daniels

Publication date 1982

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176345781

zbMATH Keywords

boundary crossingconstructing sequential test boundariesdiffusion approximationimagesminimax expected sample size

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Sequential statistical analysis (62L10)

Cited in

(14)

• Closed form valuation of barrier options with stochastic barriers
• American option valuation using first-passage densities
• An approximation for the inverse first passage time problem
• On the method of images and the asymptotic behavior of first-passage times
• The Spike-Triggered Average of the Integrate-and-Fire Cell Driven by Gaussian White Noise
• Linear programming and the inverse method of images
• On first-passage-time and transition densities for strongly symmetric diffusion processes
• Stochastic integrate and fire models: a review on mathematical methods and their applications
• First passage time for Brownian motion and piecewise linear boundaries
• Two asset-barrier option under stochastic volatility
• Yaglom-type limit theorems for branching Brownian motion with absorption
• First passage time statistics of Brownian motion with purely time dependent drift and diffusion
• Exact simulation of the first-passage time of diffusions to time-dependent thresholds
• Analytic crossing probabilities for certain barriers by Brownian motion

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