Computing wedge probabilities
Bernard Ycart (LMC - IMAG), R\'emy Drouilhet (FIGAL)
TL;DR
This paper introduces a new formula for calculating the probability that a standard Brownian motion remains within two linear boundaries, along with an algorithm and online R packages for practical computation.
Contribution
It presents a novel formula for wedge probabilities, an efficient algorithm, and provides accessible implementations in R packages.
Findings
Derived a new formula for wedge probabilities
Developed a simple, efficient algorithm
Provided R packages for practical use
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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Taxonomy
TopicsBayesian Methods and Mixture Models · Statistical Methods and Inference · Statistical Distribution Estimation and Applications