Improving Brownian approximations for boundary crossing problems

DOI10.3150/11-BEJ396zbMath1270.60053arXiv1301.7625MaRDI QIDQ1940752

Robert W. Keener

Publication date: 7 March 2013

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.7625

zbMATH Keywords

Brownian motionhitting timesrandom walkstopping timesDonsker's theorem

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Probabilistic potential theory (60J45)

Related Items (2)

Recovering a distribution from its translated fractional moments ⋮ Continuity correction: on the pricing of discrete double barrier options

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