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Second-order corrections for Brownian motion approximations to first-passage probabilities
Published online by Cambridge University Press: 01 July 2016
Abstract
Correction terms are obtained for the Brownian motion approximation to one- and two-barrier first-passage probabilities. These approximations are given in terms of their Laplace transforms, which are formally (and non-rigorously) inverted. Applications to the one-sample Kolmogorov-Smirnov statistic are discussed.
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- Copyright © Applied Probability Trust 1982
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