Fast calculation of boundary crossing probabilities for Poisson processes

Amit Moscovich; Boaz Nadler

doi:https://doi.org/10.1016/j.spl.2016.11.027

Fast calculation of boundary crossing probabilities for Poisson processes

Amit Moscovich, Boaz Nadler

Department of Computer Science and Applied Mathematics

Weizmann Institute of Science

Research output: Contribution to journal › Article › peer-review

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 language	English
Pages (from-to)	177-182
Number of pages	6
Journal	Statistics and Probability Letters
Volume	123
Early online date	20 Dec 2016
DOIs	https://doi.org/10.1016/j.spl.2016.11.027
State	Published - 1 Apr 2017

Keywords

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

All Science Journal Classification (ASJC) codes

Statistics and Probability
Statistics, Probability and Uncertainty

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https://doi.org/10.1016/j.spl.2016.11.027

http://arxiv.org/abs/1503.04363License: Other

Cite this

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title = "Fast calculation of boundary crossing probabilities for Poisson processes",

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.",

keywords = "Boundary crossing, Brownian motion, Empirical process, First passage, Goodness of fit, Poisson process",

author = "Amit Moscovich and Boaz Nadler",

note = "Publisher Copyright: {\textcopyright} 2016 Elsevier B.V.",

year = "2017",

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day = "1",

doi = "https://doi.org/10.1016/j.spl.2016.11.027",

language = "الإنجليزيّة",

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T1 - Fast calculation of boundary crossing probabilities for Poisson processes

AU - Moscovich, Amit

AU - Nadler, Boaz

PY - 2017/4/1

Y1 - 2017/4/1

N2 - 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.

AB - 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.

KW - Boundary crossing

KW - Brownian motion

KW - Empirical process

KW - First passage

KW - Goodness of fit

KW - Poisson process

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U2 - https://doi.org/10.1016/j.spl.2016.11.027

DO - https://doi.org/10.1016/j.spl.2016.11.027

M3 - مقالة

SN - 0167-7152

VL - 123

SP - 177

EP - 182

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -

Fast calculation of boundary crossing probabilities for Poisson processes

Abstract

Keywords

All Science Journal Classification (ASJC) codes

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