Computing wedge probabilities
Probability
2016-12-20 v1
Abstract
A new formula for the probability that a standard Brownian motion stays between two linear boundaries is proved. A simple algorithm is deduced. Uniform precision estimates are computed. Different implementations have been made available online as R packages.
Cite
@article{arxiv.1612.05764,
title = {Computing wedge probabilities},
author = {Bernard Ycart and Rémy Drouilhet},
journal= {arXiv preprint arXiv:1612.05764},
year = {2016}
}