Second-order approximations to the density, mean and variance of Brownian first-exit times
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Publication:1059969
DOI10.1214/aop/1176993071zbMath0567.62068OpenAlexW1964457805MaRDI QIDQ1059969
Publication date: 1985
Published in: The Annals of Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aop/1176993071
meanvariancecorrection termsdriftsecond order approximationsdistribution of the first exit timetangent approximation
Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10)
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