Evaluations of absorption probabilities for the Wiener process on large intervals
- 1 March 1980
- journal article
- research article
- Published by Cambridge University Press (CUP) in Journal of Applied Probability
- Vol. 17 (02) , 363-372
- https://doi.org/10.1017/s0021900200047197
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
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