Brownian type boundary crossing probabilities for piecewise linear boundary functions

Communications in Statistics - Theory and Methods

Volumn 33, Issue 7, 2004, Pages 1445-1464

  Janssen, Arnold ^a   Kunz, Michael ^b  

^a HEINRICH HEINE UNIVERSITY   (Germany)

^b BAYER PHARMA AG   (Germany)

Author keywords

Boundary crossing; Brownian bridge; Brownian motion with drift; Error bounds; Kolmogorov smirnov test; Power function

Indexed keywords

BROWNIAN MOVEMENT; COMPUTATIONAL COMPLEXITY; DIFFERENTIAL EQUATIONS; FUNCTIONS; MULTIVARIABLE CONTROL SYSTEMS;

BOUNDARY CROSSING; BOUNDARY FUNCTIONS; BROWNIAN BRIDGES; ERROR BOUNDS; POWER FUNCTIONS;

PROBABILITY;

EID: 3042544337     PISSN: 03610926     EISSN: None     Source Type: Journal    
DOI: 10.1081/STA-120037253     Document Type: Article

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