Fast calculation of boundary crossing probabilities for Poisson processes

Amit Moscovich*, Boaz Nadler

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

14 Scopus citations

Abstract

The boundary crossing probability of a Poisson process with n jumps is a fundamental quantity with numerous applications. We present a fast O(n2logn) algorithm to calculate this probability for arbitrary upper and lower boundaries.

Original languageEnglish
Pages (from-to)177-182
Number of pages6
JournalStatistics and Probability Letters
Volume123
DOIs
StatePublished - 1 Apr 2017
Externally publishedYes

Keywords

  • Boundary crossing
  • Brownian motion
  • Empirical process
  • First passage
  • Goodness of fit
  • Poisson process

Fingerprint

Dive into the research topics of 'Fast calculation of boundary crossing probabilities for Poisson processes'. Together they form a unique fingerprint.

Cite this