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)
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scientific article; zbMATH DE number 6917456
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | 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 |
scientific article; zbMATH DE number 6917456 |
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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 (English)
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14 August 2018
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Summary: This paper provides explicit formulae for the probability that an arithmetic or a geometric Brownian motion will not cross an absorbing boundary defined as a step function during a finite time interval. Various combinations of downward and upward steps are handled. Numerical computation of the survival probability is done quasi-instantaneously and with utmost precision. The sensitivity of the survival probability to the number and the ordering of the steps in the boundary is analyzed.
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