Sensitivity of boundary crossing probabilities of the Brownian motion

DOI10.1515/MCMA-2019-2031zbMath1428.60122OpenAlexW2911751988MaRDI QIDQ2417979

Sercan Gür, Klaus Pötzelberger

Publication date: 31 May 2019

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://epub.wu.ac.at/6938/1/dissertation_sguer.pdf

zbMATH Keywords

sensitivityfirst exit timeboundary crossing probabilityadaptive control variableperturbation of boundary

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Cites Work

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• Alternative boundaries for CUSUM tests
• Crossing probabilities for diffusion processes with piecewise continuous boundaries
• Boundary crossing probability for Brownian motion
• Boundary crossing probability for Brownian motion and general boundaries
• Improving the Monte Carlo estimation of boundary crossing probabilities by control variables
• Approximations of boundary crossing probabilities for a Brownian motion
• Explicit Bounds for Approximation Rates of Boundary Crossing Probabilities for the Wiener Process
• Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test

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