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Inversion of the method of images.

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Inversion of the method of images. / Roberts, Gareth O.; Lo, Violet S.; Daniels, Henry E.
In: Bernoulli, Vol. 8, No. 1, 02.2002, p. 53-80.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Roberts, GO, Lo, VS & Daniels, HE 2002, 'Inversion of the method of images.', Bernoulli, vol. 8, no. 1, pp. 53-80. <http://projecteuclid.org/DPubS?service=UI&version=1.0&verb=Display&handle=euclid.bj/1078951089>

APA

Roberts, G. O., Lo, V. S., & Daniels, H. E. (2002). Inversion of the method of images. Bernoulli, 8(1), 53-80. http://projecteuclid.org/DPubS?service=UI&version=1.0&verb=Display&handle=euclid.bj/1078951089

Vancouver

Roberts GO, Lo VS, Daniels HE. Inversion of the method of images. Bernoulli. 2002 Feb;8(1):53-80.

Author

Roberts, Gareth O. ; Lo, Violet S. ; Daniels, Henry E. / Inversion of the method of images. In: Bernoulli. 2002 ; Vol. 8, No. 1. pp. 53-80.

Bibtex

@article{84581c8faeb84592ac09aca2de5628d2,
title = "Inversion of the method of images.",
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.",
keywords = "boundary crossing probabilities, Brownian motion, method of images",
author = "Roberts, {Gareth O.} and Lo, {Violet S.} and Daniels, {Henry E.}",
year = "2002",
month = feb,
language = "English",
volume = "8",
pages = "53--80",
journal = "Bernoulli",
issn = "1350-7265",
publisher = "International Statistical Institute",
number = "1",

}

RIS

TY - JOUR

T1 - Inversion of the method of images.

AU - Roberts, Gareth O.

AU - Lo, Violet S.

AU - Daniels, Henry E.

PY - 2002/2

Y1 - 2002/2

N2 - 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.

AB - 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.

KW - boundary crossing probabilities

KW - Brownian motion

KW - method of images

M3 - Journal article

VL - 8

SP - 53

EP - 80

JO - Bernoulli

JF - Bernoulli

SN - 1350-7265

IS - 1

ER -