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An asymptotic expansion for one-sided Brownian exit densities. (English) Zbl 0488.60086


MSC:

60J65 Brownian motion
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[1] Daniels, H. E., An approximation technique for a curved boundary problem, Adv. Appl. Probab., 6, 194-196 (1974)
[2] Durbin, J., Boundary crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test, J. Appl. Probab., 8, 431-453 (1971) · Zbl 0225.60037
[3] Durbin, J.: The first passage density of a Gaussian process to a general boundary. Preprint (1981) · Zbl 0576.60029
[4] Ferebee, B.: The tangent approximation to one-sided Brownian exit-densities. Preprint (1981) SFB 123 Heidelberg · Zbl 0499.60085
[5] Jennen, C.: Asymptotische Bestimmung von Kenngrößen sequentieller Verfahren. Doctoral dissertation, Univ. Heidelberg (1981)
[6] Lebedev, N. N., Special functions and their applications (1965), New York: Dover, New York · Zbl 0131.07002
[7] Park, C.; Schuurmann, F. J., Evaluations of barrier-crossing probabilities of Wiener paths, J. Appl. Probability, 13, 167-275 (1976) · Zbl 0344.60047
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