Evaluations of absorption probabilities for the Wiener process on large intervals
Keyword(s):
The Past
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Let {W(t), 0≦t<∞} be the standard Wiener process. The computation schemes developed in the past are not computationally efficient for the absorption probabilities of the type P{sup0≦t≦TW(t) − f(t) ≧ 0} when either T is large or f(0) > 0 is small. This paper gives an efficient and accurate algorithm to compute such probabilities, and some applications to other Gaussian stochastic processes are discussed.
1980 ◽
Vol 17
(02)
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pp. 363-372
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1983 ◽
Vol 20
(01)
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pp. 103-110
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