Home > Research > Publications & Outputs > Inversion of the method of images.
View graph of relations

Inversion of the method of images.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Published
  • Gareth O. Roberts
  • Violet S. Lo
  • Henry E. Daniels
Close
<mark>Journal publication date</mark>02/2002
<mark>Journal</mark>Bernoulli
Issue number1
Volume8
Number of pages28
Pages (from-to)53-80
Publication StatusPublished
<mark>Original language</mark>English

Abstract

We consider the problem of approximating the density of the time at which a Brownian path first crosses a curved boundary in cases where the exact density is not known or is difficult to compute. Approximation methods which involve the use of images will be proposed. These methods can be used not only for one-sided boundaries but also for the case of two-sided boundaries; not only for concave boundaries but also for convex boundaries. The square root boundary and parabolic boundary provide examples for numerical comparisons of the approximation methods.