Article ID Journal Published Year Pages File Type
5129858 Statistics & Probability Letters 2017 6 Pages PDF
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.

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Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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Fast calculation of boundary crossing probabilities for Poisson processes
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