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 |
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| Вых. Данные | Год: 2025, Том: 22, Номер: 2, | ||
| Ключевые слова | Brownian motion, Wiener process, square root boundaries, exit time, accuracy of approximation | ||
| Авторы |
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| Организации |
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Информация о финансировании (1)
| 1 | Институт математики им. С.Л. Соболева СО РАН | FWNF-2022-0010 |
Реферат:
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.
Библиографическая ссылка:
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.
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.
Даты:
| Принята к публикации: | 14 окт. 2025 г. |
| Опубликована online: | 31 дек. 2025 г. |
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