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Fast calculation of boundary crossing probabilities for Poisson processes

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  • Moscovich, Amit
  • Nadler, Boaz

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.

Suggested Citation

  • Moscovich, Amit & Nadler, Boaz, 2017. "Fast calculation of boundary crossing probabilities for Poisson processes," Statistics & Probability Letters, Elsevier, vol. 123(C), pages 177-182.
    • Handle: RePEc:eee:stapro:v:123:y:2017:i:c:p:177-182
    DOI: 10.1016/j.spl.2016.11.027
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    References listed on IDEAS

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    1. Rémy Chicheportiche & Jean-Philippe Bouchaud, 2014. "Some applications of first-passage ideas to finance," Post-Print hal-01010312, HAL.
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    Cited by:

    1. Goldman, Matt & Kaplan, David M., 2018. "Comparing distributions by multiple testing across quantiles or CDF values," Journal of Econometrics, Elsevier, vol. 206(1), pages 143-166.
    2. Goldman, Matt & Kaplan, David M., 2018. "Comparing distributions by multiple testing across quantiles or CDF values," Journal of Econometrics, Elsevier, vol. 206(1), pages 143-166.
    3. von Schroeder, Jonathan & Dickhaus, Thorsten, 2020. "Efficient calculation of the joint distribution of order statistics," Computational Statistics & Data Analysis, Elsevier, vol. 144(C).
    4. Dimitrova, Dimitrina S. & Ignatov, Zvetan G. & Kaishev, Vladimir K. & Tan, Senren, 2020. "On double-boundary non-crossing probability for a class of compound processes with applications," European Journal of Operational Research, Elsevier, vol. 282(2), pages 602-613.

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