On accuracy of approximations for wiener probabilities to stay between square root boundaries | Sciact - Система учета научной деятельности ИМ СО РАН

On accuracy of approximations for wiener probabilities to stay between square root boundaries Научная публикация

Журнал

Сибирские электронные математические известия (Siberian Electronic Mathematical Reports)
, E-ISSN: 1813-3304

Вых. Данные

Год: 2025, Том: 22, Номер: 2, Страницы: 1614-1625 Страниц : 12 DOI: 10.33048/semi.2025.22.098

Ключевые слова

Brownian motion, Wiener process, square root boundaries, exit time, accuracy of approximation

Авторы

Sakhanenko A.I. ¹

Организации

1	Sobolev Institute of Mathematics, pr. Koptyuga, 4, 630090, Novosibirsk, Russia

Информация о финансировании (1)

Институт математики им. С.Л. Соболева СО РАН

FWNF-2022-0010

Several asymptotic formulas for probabilities of the Wiener process to stay between different square root boundaries are known after papers of Breiman (1965), Sato (1977), Novikov (1979, 1981), Gartner (1982), Uchiyama (1980), Greenwood and Perkins (1983). In the present work we investigate accuracy of these approximations. We present several general estimates which contain the ones obtained earlier by Uchiyama in the limiting case of one boundary.

Sakhanenko A.I.
On accuracy of approximations for wiener probabilities to stay between square root boundaries
Сибирские электронные математические известия (Siberian Electronic Mathematical Reports). 2025. V.22. N2. P.1614-1625. DOI: 10.33048/semi.2025.22.098 Scopus

Принята к публикации:	14 окт. 2025 г.
Опубликована в печати:	29 дек. 2025 г.
Опубликована online:	29 дек. 2025 г.

Scopus:

2-s2.0-105026511288

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