Second-order corrections for Brownian motion approximations to first-passage probabilities

DOI10.2307/1426674zbMath0488.60077OpenAlexW2319772040MaRDI QIDQ3949766

Yih-Shyh Yuh

Publication date: 1982

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

Full work available at URL: https://doi.org/10.2307/1426674

zbMATH Keywords

Laplace transformfirst-passage probabilityBrownian motion approximation

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Brownian motion (60J65)

Related Items (3)

Improving Brownian approximations for boundary crossing problems ⋮ An upper bound for the accuracy of the Wiener process approximation of the error probabilities of the SPRT ⋮ Brownian approximations to first passage probabilities

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