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Evaluations of absorption probabilities for the Wiener process on large intervals

Published online by Cambridge University Press:  14 July 2016

C. Park  and
F. J. Schuurmann
C. Park*
Affiliation:
Miami University
F. J. Schuurmann*
Affiliation:
Miami University
*
∗ Postal address: Department of Mathematics and Statistics, Culler Hall, Miami University, Oxford, OH 45056, U.S.A.
∗ Postal address: Department of Mathematics and Statistics, Culler Hall, Miami University, Oxford, OH 45056, U.S.A.
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Abstract

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≦T W(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.

Keywords

ABSORPTION PROBABILITYWIENER PROCESSGAUSSIAN STOCHASTIC PROCESSORNSTEIN–UHLENBECK PROCESS

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 17 , Issue 2 , June 1980 , pp. 363 - 372
Copyright
Copyright © Applied Probability Trust 1980 

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