Related papers: Approximations for the boundary crossing probabili…
In this paper we study approximations for the boundary crossing probabilities of moving sums of i.i.d. normal r.v. We approximate a discrete time problem with a continuous time problem allowing us to apply established theory for stationary…
We derive explicit formulas for probabilities of Brownian motion with jumps crossing linear or piecewise linear boundaries in any finite interval. We then use these formulas to approximate the boundary crossing probabilities for general…
Motivated by an approximation problem from mathematical finance, we analyse the stability of the boundary crossing probability for the multivariate Brownian motion process, with respect to small changes of the boundary. Under broad…
Several classical results on boundary crossing probabilities of Brownian motion and random walks are extended to asymptotically Gaussian random fields, which include sums of i.i.d. random variables with multidimensional indices,…
We propose an approach to compute the boundary crossing probabilities for a class of diffusion processes which can be expressed as piecewise monotone (not necessarily one-to-one) functionals of a standard Brownian motion. This class…
Donsker's theorem shows that random walks behave like Brownian motion in an asymptotic sense. This result can be used to approximate expectations associated with the time and location of a random walk when it first crosses a nonlinear…
This paper is an overview of the classical level crossing problem which is studied extensively in the literature and is fundamental in many branches of applied probability. We discuss a number of approximations with an emphasis on their…
We consider the small deviation probabilities (SDP) for sums of stationary Gaussian sequences. For the cases of constant boundaries and boundaries tending to zero, we obtain quite general results. For the case of the boundaries tending to…
One problem of wide interest involves estimating expected crossing-times. Several tools have been developed to solve this problem beginning with the works of Wald and the theory of sequential analysis. An extension of his approach is…
We propose a discrete time discrete space Markov chain approximation with a Brownian bridge correction for computing curvilinear boundary crossing probabilities of a general diffusion process on a finite time interval. For broad classes of…
We consider the first-crossing-time problem through a constant boundary for a Wiener process perturbed by random jumps driven by a counting process. On the base of a sample-path analysis of the jump-diffusion process we obtain explicit…
We consider the boundary crossing problem for time-homogeneous diffusions and general curvilinear boundaries. Bounds are derived for the approximation error of the one-sided (upper) boundary crossing probability when replacing the original…
The paper deals with the asymptotic behavior of the bridge of a Gaussian process conditioned to stay in $n$ fixed points at $n$ fixed past instants. In particular, functional large deviation results are stated for small time. Several…
In this contribution we derive an explicit formula for the boundary non-crossing probabilities for Slepian processes associated with the piecewise linear boundary function. This formula is used to develop an approximation formula to the…
For a multivariate random walk with i.i.d. jumps satisfying the Cramer moment condition and having a mean vector with at least one negative component, we derive the exact asymptotics of the probability of ever hitting the positive orthant…
We investigate the distribution of the time spent by a random walker to the right of a boundary moving with constant velocity v. For the continuous-time problem (Brownian motion), we provide a simple alternative proof of Newman's recent…
An explicit formula for the probability that a continuous local martingale crosses a one or two-sided random constant boundary in a finite time interval is derived. We obtain that the boundary crossing probability of a continuous local…
In this article, we consider Poisson and Poisson convoluted geometric approximation to the sums of $n$ independent random variables under moment conditions. We use Stein's method to derive the approximation results in total variation…
We study the asymptotic probability that a random walk with heavy-tailed increments crosses a high boundary on a random time interval. We use new techniques to extend results of Asmussen [Ann. Appl. Probab. 8 (1998) 354-374] to completely…
The problem of (pathwise) large deviations for conditionally continuous Gaussian processes is investigated. The theory of large deviations for Gaussian processes is extended to the wider class of random processes -- the conditionally…