Brownian Approximations to First Passage Probabilities.

Abstract

By direct probabilistic argument one term of an Edgeworth type asymptotic expansion is obtained for certain first passage distributions for random walks. These results provide partial justification for and extensions of approximations suggested earlier as a heuristic consquence of Laplace transform calculations.

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Document Details

Document Type
Technical Report
Publication Date
Dec 15, 1980
Accession Number
ADA097106

Entities

People

  • David Siegmund
  • Yih-shyh Yuh

Organizations

  • Stanford University

Tags

Communities of Interest

  • C4I
  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Asymptotic Series
  • Brownian Motion
  • Distribution Functions
  • Identities
  • Infinite Series
  • Military Research
  • New York
  • Normal Distribution
  • Probability
  • Probability Distributions
  • Random Variables
  • Random Walk
  • Security
  • Statistics
  • Theorems
  • Universities

Fields of Study

  • Mathematics

Readers

  • Statistical inference.