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Approximation to the exit probability of a continuous Gaussian process over a U-shaped boundary of increasing curvature
Published online by Cambridge University Press: 14 July 2016
Abstract
A simple approximation to the probability of crossing a U-shaped boundary by a Brownian motion is given. The larger the second derivative of the curve at a minimum point, the higher the accuracy of the approximation. The result is also extended to a class of continuous Gaussian processes with definite properties. Numerical examples are given.
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- Research Papers
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- Copyright © Applied Probability Trust 1995