A note on Erdős and Kac's identity: boundary crossing probabilities of Brownian motion over constant boundaries. A finite Markov chain imbedding approach

DOI10.1007/s11009-018-9686-4zbMath1437.60043OpenAlexW2900129670MaRDI QIDQ2176388

Tung-Lung Wu

Publication date: 4 May 2020

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-018-9686-4

zbMATH Keywords

finite Markov chain imbeddingrandom walksBrownian motionboundary crossing probabilitiesErdős and Kac's identity

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Brownian motion (60J65)

Cites Work

• Boundary crossing probabilities and statistical applications
• Double barrier hitting time distributions with applications to exotic options
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• Linear and Nonlinear Boundary Crossing Probabilities for Brownian Motion and Related Processes
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• On The Eigenvalues of Certain Hermitian Operators
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• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test
• On certain limit theorems of the theory of probability
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