Tools to Estimate the First Passage Time to a Convex Barrier

DOI10.1239/jap/1110381371zbMath1081.60023OpenAlexW2054264475MaRDI QIDQ5312841

Ola Hammarlid

Publication date: 25 August 2005

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

Full work available at URL: https://doi.org/10.1239/jap/1110381371

zbMATH Keywords

stopping timeinsurancefinancesequential analysisovershoot over a linear barrierrandom walk to a barrier

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Stopping times; optimal stopping problems; gambling theory (60G40) Large deviations (60F10) Sequential statistical analysis (62L10)

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