Explicit bounds for approximation rates of boundary crossing probabilities for the Wiener process

Publisher:
Applied Probability Trust
Publication Type:
Journal Article
Citation:
Journal Of Applied Probability, 2005, 42 (1), pp. 82 - 92
Issue Date:
2005-01
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We give explicit upper bounds for convergence rates when approximating both one- and two-sided general curvilinear boundary crossing probabilities for the Wiener process by similar probabilities for close boundaries of simpler form, for which computation
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