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June 1996 Approximating the first crossing-time density for a curved boundary
Henry E. Daniels
Bernoulli 2(2): 133-143 (June 1996). DOI: 10.3150/bj/1193839220


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.


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Henry E. Daniels. "Approximating the first crossing-time density for a curved boundary." Bernoulli 2 (2) 133 - 143, June 1996.


Published: June 1996
First available in Project Euclid: 31 October 2007

zbMATH: 0865.60069
MathSciNet: MR1410134
Digital Object Identifier: 10.3150/bj/1193839220

Keywords: Brownian motion , curved boundary , first crossing-time density , sequential analysis

Rights: Copyright © 1996 Bernoulli Society for Mathematical Statistics and Probability

Vol.2 • No. 2 • June 1996
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