The tangent approximation to one-sided Brownian exit densities

DOI10.1007/BF00539832zbMath0499.60085OpenAlexW2056276612MaRDI QIDQ3965366

Brooks Ferebee

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/bf00539832

zbMATH Keywords

error boundsmoving boundaryfirst-exit timetangent approximation

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Brownian motion (60J65)

Related Items (16)

A Feynman-Kac based numerical method for the exit time probability of a class of transport problems ⋮ The First-passage Time of the Brownian Motion to a Curved Boundary: an Algorithmic Approach ⋮ Crossing probabilities for diffusion processes with piecewise continuous boundaries ⋮ Tools to Estimate the First Passage Time to a Convex Barrier ⋮ A structure-preserving method for the distribution of the first hitting time to a moving boundary for some Gaussian processes ⋮ Computations of boundary crossing probabilities for the wiener process ⋮ Uniqueness of first passage time distributions via Fredholm integral equations ⋮ On integral equations arising in the first-passage problem for Brownian motion ⋮ Development, Simulation, and Application of First-Exit-Time Densities to Life Table Data ⋮ First passage time for Brownian motion and piecewise linear boundaries ⋮ LERCHE'S SEQUENTIAL TEST FOR THE DRIFT OF A BROWNIAN MOTION WITH A SMOOTH PRIOR ⋮ An Excursion characterization of the first hitting time of Brownian motion in a smooth boundary ⋮ Asymptotic densities of stopping times associated with tests of power one ⋮ An asymptotic expansion for one-sided Brownian exit densities ⋮ Combinatorial devices for sequential analysis ⋮ First passage probabilities of one-dimensional diffusion processes

Cites Work

• The first-passage density of a continuous gaussian process to a general boundary
• First exit densities of Brownian motion through one-sided moving boundaries
• Asymptotic densities of stopping times associated with tests of power one
• 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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