Approximations of boundary crossing probabilities for a Brownian motion

Using the Girsanov transformation we derive estimates for the accuracy of piecewise approximations for one-sided and two-sided boundary crossing probabilities. We demonstrate that piecewise linear approximations can be calculated using repeated numerical integration. As an illustrative example we co...

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Veröffentlicht in:	Journal of applied probability 1999-12, Vol.36 (4), p.1019-1030, Article 1019
Hauptverfasser:	Novikov, Alex, Frishling, Volf, Kordzakhia, Nino
Format:	Artikel
Sprache:	eng
Online-Zugang:	Volltext
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