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dc.contributor.supervisor Fu, James C. (Statistics) en_US
dc.contributor.author Wu, Tung-Lung Jr
dc.date.accessioned 2012-07-27T16:55:07Z
dc.date.available 2012-07-27T16:55:07Z
dc.date.issued 2010-12 en_US
dc.identifier.citation Fu, J. C. and Wu, T.-L. (2010). Linear and nonlinear boundary crossing probabilities for Brownian motion and related processes. J. Appl. Prob., 47, 1058-1071. en_US
dc.identifier.uri http://hdl.handle.net/1993/8123
dc.description.abstract We propose a simple and general method to obtain the boundary crossing probability for Brownian motion. This method can be easily extended to higher dimensional of Brownian motion. It also covers certain classes of stochastic processes associated with Brownian motion. The basic idea of the method is based on being able to construct a nite Markov chain such that the boundary crossing probability of Brownian motion is obtained as the limiting probability of the nite Markov chain entering a set of absorbing states induced by the boundary. Numerical results are given to illustrate our method. en_US
dc.publisher Applied Probability Trust - Journal of Applied Probability en_US
dc.rights info:eu-repo/semantics/openAccess
dc.subject boundary crossing probabilities en_US
dc.subject Brownian motion en_US
dc.subject first passage time en_US
dc.subject finite Markov chain imbedding en_US
dc.subject diffusion processes en_US
dc.subject absorption probability en_US
dc.subject transition probability matrices en_US
dc.subject random walks en_US
dc.title Linear and non-linear boundary crossing probabilities for Brownian motion and related processes en_US
dc.type info:eu-repo/semantics/doctoralThesis
dc.type doctoral thesis en_US
dc.degree.discipline Statistics en_US
dc.contributor.examiningcommittee Wang, Liqun (Statistics) Johnson, Brad (Statistics) Guo, Benqi (Mathematics) Li, Gang (Animas Corporation | LifeScan, Inc. | Johnson & Johnson ) en_US
dc.degree.level Doctor of Philosophy (Ph.D.) en_US
dc.description.note October 2012 en_US


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