Fast calculation of boundary crossing probabilities for Poisson processes

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• 作者：Amit Moscovich ; ^{moscovich@gmail.com} ; Boaz Nadler ^{boaz.nadler@weizmann.ac.il}
• 关键词：Boundary crossing ; Poisson process ; Empirical process ; Goodness of fit ; Brownian motion ; First passage
• 刊名：Statistics & Probability Letters
• 出版年：2017
• 出版时间：April 2017
• 年：2017
• 卷：123
• 期：Complete
• 页码：177-182
• 全文大小：488 K
• 卷排序：123

文摘

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