First Passage Density of Brownian Motion with Two-sided Piecewise Linear Boundaries
作者机构:Center for Applied StatisticsSchool of StatisticsRenmin University of ChinaBeijing 100872P.R.China School of Mathematics and Data ScienceChangji UniversityChangji 831100P.R.China
出 版 物:《Acta Mathematica Sinica,English Series》 (数学学报(英文版))
年 卷 期:2024年第40卷第6期
页 面:1505-1520页
核心收录:
学科分类:02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学(可授理学、经济学学位)] 070103[理学-概率论与数理统计] 0701[理学-数学]
基 金:Supported by the Fundamental Research Funds for the Central Universities the Research Funds of Renmin University of China(Grant No.22XNL016)
主 题:Boundary non-crossing probability first density passage density two-sided piecewise continuous boundaries Brownian motion
摘 要:The first passage time has many applications in fields like finance,econometrics,statistics,and ***,explicit formulas for the first passage density have only been obtained for a few *** paper derives an explicit formula for the first passage density of Brownian motion with twosided piecewise continuous boundaries which may have some points of *** are used to obtain a simplified formula for estimating the first passage ***,the results are also generalized to the case of two-sided general nonlinear *** can be easily carried out with Monte Carlo method and it is demonstrated for several typical two-sided boundaries that the proposed approximation method offers a highly accurate approximation of first passage density.