Sensitivity of boundary crossing probabilities of the Brownian motion
type: Item
instance of: scholarly article
title: Sensitivity of boundary crossing probabilities of the Brownian motion
zbMATH Open document ID: 1428.60122
author: Ş. Gür
author: Klaus Pötzelberger
published in: Monte Carlo Methods and Applications
publication date: 2019-05-31T00:00:00Z
full work available at URL: dissertation sguer.pdf
Mathematics Subject Classification ID: 60J70
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 62F03
zbMATH DE Number: 7061110
zbMATH Keywords: boundary crossing probability
zbMATH Keywords: first exit time
zbMATH Keywords: sensitivity
zbMATH Keywords: perturbation of boundary
zbMATH Keywords: adaptive control variable
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W2911751988
cites work: Q4001807
cites work: Explicit Bounds for Approximation Rates of Boundary Crossing Probabilities for the Wiener Process
cites work: Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test
cites work: Approximations of boundary crossing probabilities for a Brownian motion
cites work: Improving the Monte Carlo estimation of boundary crossing probabilities by control variables
cites work: Boundary crossing probability for Brownian motion
cites work: Boundary crossing probability for Brownian motion and general boundaries
cites work: Crossing probabilities for diffusion processes with piecewise continuous boundaries
cites work: Alternative boundaries for CUSUM tests
DOI: 10.1515/MCMA-2019-2031
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description: scientific article; zbMATH DE number 7061110