Computing wedge probabilities

Bernard Ycart (1) , Rémy Drouilhet (2)

1 SVH - Statistique pour le Vivant et l’Homme
2 FIGAL - Fiabilité et Géométrie Aléatoire

A new formula for the probability that a standard Brownian motion stays between two linear boundaries is proved. A simple algorithm is deduced. Uniform precision estimates are computed. Different implementations have been made available online as R packages.

Mots clés: theta functions; Brownian motion; double boundary crossing

Domaines: Probabilités [math.PR]

Bernard Ycart, Rémy Drouilhet. Computing wedge probabilities. [Research Report] Laboratoire Jean Kuntzmann. 2016. ⟨hal-01417381⟩