On the Computation of the Survival Probability of Brownian Motion with Drift in a Closed Time Interval When the Absorbing Boundary Is a Step Function
Author
Source
Journal of Probability and Statistics
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-22, 22 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-09-09
Country of Publication
Egypt
No. of Pages
22
Main Subjects
Abstract EN
This paper provides explicit formulae for the probability that an arithmetic or a geometric Brownian motion will not cross an absorbing boundary defined as a step function during a finite time interval.
Various combinations of downward and upward steps are handled.
Numerical computation of the survival probability is done quasi-instantaneously and with utmost precision.
The sensitivity of the survival probability to the number and the ordering of the steps in the boundary is analyzed.
American Psychological Association (APA)
Guillaume, Tristan. 2015. On the Computation of the Survival Probability of Brownian Motion with Drift in a Closed Time Interval When the Absorbing Boundary Is a Step Function. Journal of Probability and Statistics،Vol. 2015, no. 2015, pp.1-22.
https://search.emarefa.net/detail/BIM-1069992
Modern Language Association (MLA)
Guillaume, Tristan. On the Computation of the Survival Probability of Brownian Motion with Drift in a Closed Time Interval When the Absorbing Boundary Is a Step Function. Journal of Probability and Statistics No. 2015 (2015), pp.1-22.
https://search.emarefa.net/detail/BIM-1069992
American Medical Association (AMA)
Guillaume, Tristan. On the Computation of the Survival Probability of Brownian Motion with Drift in a Closed Time Interval When the Absorbing Boundary Is a Step Function. Journal of Probability and Statistics. 2015. Vol. 2015, no. 2015, pp.1-22.
https://search.emarefa.net/detail/BIM-1069992
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1069992
