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arXiv · 1612.05764

Computing wedge probabilities

Bernard Ycart·Rémy Drouilhet
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Abstract

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.

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Bernard Ycart, Rémy Drouilhet. 2016-12-17. Computing wedge probabilities. https://arxiv.org/abs/1612.05764

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