Minimal area regions are constructed for Brownian paths and perturbed Brownian paths. While the theoretical optimal region
cannot be obtained in closed form, we provide practical confidence regions based on numerical approximations and local time
arguments. These regions are used to provide informal convergence assessments for both Monte Carlo and Markov Chain Monte
Carlo experiments, via the Brownian asymptotic approximation of cumulative sums.
Keywords Boundary crossing probability - Brownian motion - Central limit theorem - CUSUM - Local time - Monte Carlo path - Simultaneous confidence region