Corrected diffusion approximations in certain random walk problems
- 1 December 1979
- journal article
- Published by Cambridge University Press (CUP) in Advances in Applied Probability
- Vol. 11 (4) , 701-719
- https://doi.org/10.2307/1426855
Abstract
Correction terms are obtained for the diffusion approximation to one- and two-barrier ruin problems in finite and infinite time. The corrections involve moments of ladder-height distributions, and a method is given for calculating them numerically. Examples show that the corrected approximations can be much more accurate than the originals.Keywords
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