View Related Documents

Abstract

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

Fulltext Preview

Image of the first page of the fulltext document