The Distribution of First Passage Times for Brownian Motion (microfilm). PDF Download
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Author: Lawrence Keith Roy
Publisher:
ISBN:
Category : Brownian motion processes
Languages : en
Pages : 98
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Book Description
Author: Lawrence Keith Roy
Publisher:
ISBN:
Category : Brownian motion processes
Languages : en
Pages : 98
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Book Description
![The Distribution of First Passage Times for Brownian Motion [microform] PDF](https://books.google.com/books/content/images/frontcover/GRsmNAEACAAJ?fife=w80-h100)
Author: Roy, Lawrence K
Publisher: National Library of Canada
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: M. T. Wasan
Publisher:
ISBN:
Category : Brownian movements
Languages : en
Pages : 712
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Book Description
Author: M. T. Wasan
Publisher: Kingston, Ont. : Department of Mathematics, Queen's University
ISBN:
Category : Brownian movements
Languages : en
Pages : 644
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Book Description
Bibliografi, s. 302-311
Author: Ei-Hu Shen
Publisher:
ISBN:
Category : Brownian motion processes
Languages : en
Pages : 62
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Book Description
Author: Madanlal T. Wasan
Publisher:
ISBN:
Category :
Languages : en
Pages : 20
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Author:
Publisher:
ISBN:
Category :
Languages : it
Pages : 0
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Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 18
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Author: Michael V. Hughes
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Zhiyong Jin
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This thesis consists of two novel contributions to the computation of first passage time distribution for Brownian motion. First, we extend the known formula for boundary crossing probabilities for Brownian motion to the discontinuous piecewise linear boundary. Second, we derive explicit formula for the first passage time density of Brownian motion crossing piecewise linear boundary. Further, we demonstrate how to approximate the boundary crossing probabilities and density for general nonlinear boundaries. Moreover, we use Monte Carlo simulation method and develop algorithms for the numerical computation. This method allows one to assess the accuracy of the numerical approximation. Our approach can be further extended to compute two-sided boundary crossing probabilities.
