Accession Number : ADA140940
Title : Corrected Diffusion Approximations to First Passage Times.
Descriptive Note : Technical rept.,
Corporate Author : STANFORD UNIV CA DEPT OF STATISTICS
Personal Author(s) : Hogan,M L
PDF Url : ADA140940
Report Date : May 1984
Pagination or Media Count : 30
Abstract : Section 1 in this document takes up the question of finding the distribution of excess over the boundary for random walks normalized to converge to a Wiener process. In some cases, such as tests of power 1 which are discussed in Section 2, the connection of the excess over the boundary to the problem of finding the correction to the Wiener process crossing time is simple and direct, and in other cases, especially that of Siegmund (1979), quantities with the excess over the boundary appear in ways that do not shed much light on the general problem. Section 3 gives a heuristic method for correcting the random walk probabilities, based on a reflection principle method of Siegmund and Yuh, which is the author's best idea for connection between the excess over the boundary and the corrected diffusion approximations to the hitting times in the general case.
Descriptors : *Distribution functions, *Boundary value problems, Boundaries, Crossings, Corrections, Diffusion, Heuristic methods, Time
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE