Pages that link to "Item:Q2731158"

The following pages link to Boundary crossing probability for Brownian motion (Q2731158):

Displaying 47 items.

• On the exact and \(\varepsilon\)-strong simulation of (jump) diffusions (Q265272) (← links)
• 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 (Q335096) (← links)
• First passage densities and boundary crossing probabilities for diffusion processes (Q398798) (← links)
• Boundary noncrossings of additive Wiener fields (Q406615) (← links)
• A simple model for market booms and crashes (Q468121) (← links)
• Estimation of integrated quadratic covariation with endogenous sampling times (Q506040) (← links)
• A fast algorithm for the first-passage times of Gauss-Markov processes with Hölder continuous boundaries (Q643719) (← links)
• A factorisation of diffusion measure and finite sample path constructions (Q937166) (← links)
• Boundary non-crossings of Brownian pillow (Q966499) (← links)
• Boundary-crossing identities for diffusions having the time-inversion property (Q966509) (← links)
• 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 (Q1657921) (← links)
• Approximations for weighted Kolmogorov-Smirnov distributions via boundary crossing probabilities (Q1703835) (← links)
• First hitting time distributions for Brownian motion and regions with piecewise linear boundaries (Q1739356) (← links)
• Alternative boundaries for CUSUM tests (Q1880300) (← links)
• Exact asymptotics for boundary crossings of the Brownian bridge with trend with application to the Kolmogorov test (Q1880999) (← links)
• \(\varepsilon\)-strong simulation of the Brownian path (Q1932226) (← links)
• Weak limits for exploratory plots in the analysis of extremes (Q1940761) (← links)
• Boundary non-crossing probabilities of Gaussian processes: sharp bounds and asymptotics (Q2031007) (← links)
• Closed form valuation of barrier options with stochastic barriers (Q2151659) (← links)
• On double-boundary non-crossing probability for a class of compound processes with applications (Q2282550) (← links)
• Exact simulation of the first-passage time of diffusions (Q2316185) (← links)
• First passage probabilities of one-dimensional diffusion processes (Q2355250) (← links)
• Sensitivity of boundary crossing probabilities of the Brownian motion (Q2417979) (← links)
• A lower bound for boundary crossing probabilities of Brownian bridge/motion with trend (Q2567184) (← links)
• Crossing probabilities for diffusion processes with piecewise continuous boundaries (Q2642479) (← links)
• The first passage time on the (reflected) Brownian motion with broken drift hitting a random boundary (Q2658013) (← links)
• On the empirical estimator of the boundary in inverse first-exit problems (Q2667001) (← links)
• Boundary non-crossing probabilities for fractional Brownian motion with trend (Q2804017) (← links)
• PRICING CHAINED OPTIONS WITH CURVED BARRIERS (Q2851563) (← links)
• Flexing the default barrier (Q2866385) (← links)
• A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options (Q3064014) (← links)
• Linear and Nonlinear Boundary Crossing Probabilities for Brownian Motion and Related Processes (Q3067846) (← links)
• ANOTHER NUMERICAL METHOD OF FINDING CRITICAL VALUES FOR THE ANDREWS STABILITY TEST (Q3224043) (← links)
• A characterization of the first hitting time of double integral processes to curved boundaries (Q3516400) (← links)
• Bounds and Approximations for Distributions of Weighted Kolmogorov-Smirnov Tests (Q4609020) (← links)
• The first rendezvous time of Brownian motion and compound Poisson-type processes (Q4660530) (← links)
• Exact simulation of multidimensional reflected Brownian motion (Q4684931) (← links)
• Estimates of the Exit Probability for Two Correlated Brownian Motions (Q4915649) (← links)
• On Transition and First Hitting Time Densities and Moments of the Ornstein–Uhlenbeck Process (Q4981818) (← links)
• On the first hitting time density for a reducible diffusion process (Q4991054) (← links)
• Transience and Recurrence of Markov Processes with Constrained Local Time (Q5140271) (← links)
• Exact Simulation for Diffusion Bridges: An Adaptive Approach (Q5169729) (← links)
• Explicit Bounds for Approximation Rates of Boundary Crossing Probabilities for the Wiener Process (Q5312842) (← links)
• Exact Monte Carlo simulation of killed diffusions (Q5387088) (← links)
• An Asymptotic Result for Non Crossing Probabilities of Brownian Motion with Trend (Q5438336) (← links)
• On Markov chain approximations for computing boundary crossing probabilities of diffusion processes (Q6148883) (← links)
• First passage density of Brownian motion with two-sided piecewise linear boundaries (Q6580090) (← links)