2016/12/17 by Bernard Ycart, Ycart, Bernard, Rémy Drouilhet +1 · 1 citation
Computer Science · Mathematics · #Bayesian Methods and Mixture Models #Statistical Methods and Inference #Statistical Distribution Estimation and Applications
paper · pdf · doi:10.48550/arxiv.1612.05764
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.