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Explicit Bounds for Approximation Rates of Boundary Crossing Probabilities for the Wiener Process

https://doi.org/10.1239/jap/1110381372
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Stochastic Processes in Queueing Theory
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Boundary Crossing of Brownian Motion: Its Relation to the Law of the Iterated Logarithm and to Sequential Analysis
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Handbook of Brownian Motion - Facts and Formulae
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On evaluations and asymptotic approximations of first-passage-time probabilities
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Approximations of boundary crossing probabilities for a Brownian motion
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The minimum of a stationary Markov process superimposed on a U-shaped trend
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Numerical Methods that Work
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Pricing Barrier Options with Time–Dependent Coefficients
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Essentials of Stochastic Finance
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Essentials of Stochastic Finance: Facts, Models, Theory
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A computational approach to first-passage-time problems for Gauss–Markov processes
inferredcites →https://doi.org/10.1239/jap/1032374752openalex-snapshot
Approximations of boundary crossing probabilities for a Brownian motion
inferredcites →https://doi.org/10.1239/jap/996986650openalex-snapshot
Boundary crossing probability for Brownian motion
inferredcites →https://doi.org/10.1515/gmj.2003.325openalex-snapshot
Time-Dependent Barrier Options and Boundary Crossing Probabilities
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Numerical Methods that Work
inferredcites →https://doi.org/10.2307/3215174openalex-snapshot
Boundary crossing probability for Brownian motion and general boundaries
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Approximating the First Crossing-Time Density for a Curved Boundary

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Incoming claims: where this work appears in other papers’ reference lists and arguments.

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