Boundary crossing probabilities for high-dimensional Brownian motion

DOI10.1017/jpr.2016.19zbMath1343.60125OpenAlexW2465279495MaRDI QIDQ3188586

Tung-Lung Wu, James C. Fu

Publication date: 11 August 2016

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

Full work available at URL: https://projecteuclid.org/euclid.jap/1466172873

zbMATH Keywords

finite Markov chain imbeddingBrownian motionconvergence rateboundary crossing probabilityirregular boundaryY-type time tunnel

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Brownian motion (60J65) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Numerical analysis or methods applied to Markov chains (65C40) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (2)

A note on Erdős and Kac's identity: boundary crossing probabilities of Brownian motion over constant boundaries. A finite Markov chain imbedding approach ⋮ Conditional waiting time distributions of runs and patterns and their applications

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