This paper is concerned with the problem of approximating the density of the time at which a Brownian path first crosses a curved boundary in cases where the exact density is not known or is difficult to compute. Two methods are proposed involving the use of images, and the square root boundary provides an example for numerical comparison. Two-sided boundaries are also discussed.
Publié le : 1996-06-14
Classification:
Brownian motion,
curved boundary,
first crossing-time density,
sequential analysis
@article{1193839220,
author = {Daniels, Henry E.},
title = {Approximating the first crossing-time density for a curved boundary},
journal = {Bernoulli},
volume = {2},
number = {3},
year = {1996},
pages = { 133-143},
language = {en},
url = {http://dml.mathdoc.fr/item/1193839220}
}
Daniels, Henry E. Approximating the first crossing-time density for a curved boundary. Bernoulli, Tome 2 (1996) no. 3, pp. 133-143. http://gdmltest.u-ga.fr/item/1193839220/