Computations of boundary crossing probabilities for the wiener process

DOI10.1080/00949658708810984zbMath0622.60090OpenAlexW2091147204MaRDI QIDQ3759651

Clive R. Loader, John J. Deely

Publication date: 1987

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658708810984

zbMATH Keywords

Wiener processVolterra integral equationsnumerical solutionsfirst passage time distributions

Mathematics Subject Classification ID

Numerical methods for integral equations (65R20) Brownian motion (60J65)

Related Items (2)

On Markov chain approximations for computing boundary crossing probabilities of diffusion processes ⋮ A Lower Bound for the First Passage Time Density of the Suprathreshold Ornstein-Uhlenbeck Process

Cites Work

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• Second-order approximations to the density, mean and variance of Brownian first-exit times
• The tangent approximation to one-sided Brownian exit densities
• Evaluations of barrier-crossing probabilities of Wiener paths
• 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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