Fast calculation of boundary crossing probabilities for Poisson processes
Computation
2019-09-16 v3 Probability
Abstract
The boundary crossing probability of a Poisson process with jumps is a fundamental quantity with numerous applications. We present a fast algorithm to calculate this probability for arbitrary upper and lower boundaries.
Cite
@article{arxiv.1503.04363,
title = {Fast calculation of boundary crossing probabilities for Poisson processes},
author = {Amit Moscovich and Boaz Nadler},
journal= {arXiv preprint arXiv:1503.04363},
year = {2019}
}
Comments
8 pages, 2 figures, associated C++ code is available at http://www.wisdom.weizmann.ac.il/~amitmo