Accession Number:

ADA179012

Title:

Approximate Exit Probabilities for a Brownian Bridge on a Short Time Interval, and Applications.

Descriptive Note:

Technical rept.,

Corporate Author:

STANFORD UNIV CA DEPT OF STATISTICS

Personal Author(s):

Report Date:

1987-03-01

Pagination or Media Count:

27.0

Abstract:

Let T be the first exit time of Brownian motion Wt from a region R in d-dimensional Euclidean space having a smooth boundary. Given points xi sub o and xi sub 1 in R, ordinary and large deviation approximations are given for PrTxiW0 xi sub o, Wepsilon xi sub 1 as epsilon approaches limit of 0. Applications are given to hearing the shape of a drum, approximating the second virial coefficient, and Monte Carlo estimation of first passage distributions for Brownian motion.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE