Boundary crossing probability for Brownian motion and general boundaries

Journal of Applied Probability

Volumn 34, Issue 1, 1997, Pages 54-65

  Wang, Liqun ^a   Pötzelberger, Klaus ^b  

^a UNIVERSITY OF BASEL   (Switzerland)

^b VIENNA UNIVERSITY OF ECONOMICS AND BUSINESS   (Austria)

Author keywords

First passage time; Local power; Monte carlo simulation; Numerical computation; Optional stopping time; Structural change; Wiener process

Indexed keywords

APPROXIMATION THEORY; BROWNIAN MOVEMENT; CALCULATIONS; COMPUTER SIMULATION; FUNCTIONS; MATHEMATICAL MODELS; MONTE CARLO METHODS; NUMERICAL METHODS;

BOUNDARY CROSSING PROBABILITY; PIECEWISE LINEAR FUNCTION; WIENER PROCESS;

PROBABILITY;

EID: 0039466554     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0021900200100695     Document Type: Article

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