Brownian approximations to first passage probabilities

DOI10.1007/BF00531747zbMath0485.60064OpenAlexW1994231486MaRDI QIDQ3945332

Yih-Shyh Yuh, David O. Siegmund

Publication date: 1982

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00531747

zbMATH Keywords

stopping timeEdgeworth expansionsrate of convergence to normalityBrownian approximationsfirst passage probabilities

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Sums of independent random variables; random walks (60G50)

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Cites Work

• Large deviations for boundary crossing probabilities
• Functional central limit theorems for random walks conditioned to stay positive
• A Modification of the Sequential Probability Ratio Test to Reduce the Sample Size
• Corrected diffusion approximations in certain random walk problems
• Second-order corrections for Brownian motion approximations to first-passage probabilities
• Some Limit Theorems for Large Deviations
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