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- W2036493905 abstract "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 consider the case of one-sided and two-sided square-root boundaries for which we also present analytical representations in a form of infinite power series." @default.
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- W2036493905 date "1999-12-01" @default.
- W2036493905 modified "2023-10-18" @default.
- W2036493905 title "Approximations of boundary crossing probabilities for a Brownian motion" @default.
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- W2036493905 doi "https://doi.org/10.1239/jap/1032374752" @default.
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