Linear and Nonlinear Boundary Crossing Probabilities for Brownian Motion and Related Processes

DOI10.1239/jap/1294170519zbMath1208.60080OpenAlexW2083803074MaRDI QIDQ3067846

Tung-Lung Wu, James C. Fu

Publication date: 13 January 2011

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1294170519

zbMATH Keywords

discretizationfinite Markov chain imbeddingBrownian motiondiffusion processrandom walkfirst passage timeboundary crossing probability

Mathematics Subject Classification ID

Brownian motion (60J65) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (11)

Boundary crossing probabilities for high-dimensional Brownian motion ⋮ 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 ⋮ On finite Markov chain imbedding and its applications ⋮ Boundary crossing probabilities of jump diffusion processes to time-dependent boundaries ⋮ A note on Erdős and Kac's identity: boundary crossing probabilities of Brownian motion over constant boundaries. A finite Markov chain imbedding approach ⋮ On Markov chain approximations for computing boundary crossing probabilities of diffusion processes ⋮ BOUNDARY CROSSING PROBABILITIES FOR THE CUMULATIVE SAMPLE MEAN ⋮ First hitting time distributions for Brownian motion and regions with piecewise linear boundaries ⋮ On double-boundary non-crossing probability for a class of compound processes with applications ⋮ Boundary non-crossing probabilities for fractional Brownian motion with trend ⋮ First passage probabilities of one-dimensional diffusion processes

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