论文信息 - Computations of boundary crossing probabilities for the wiener process

Computations of boundary crossing probabilities for the wiener process

We derive some Volterra integral equations whose solutions are the first passage time distribution for the Wiener Process. Numerical solutions are then discussed, and we find improved rates of convergence over previous results in this area. We also derive bounds for the crossing probabilities.

J. J. Deely | C. Loader | J. Deely | C. R. Loader

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