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arXiv · 1503.04363

Fast calculation of boundary crossing probabilities for Poisson processes

Amit Moscovich·Boaz Nadler
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Abstract

The boundary crossing probability of a Poisson process with $n$ jumps is a fundamental quantity with numerous applications. We present a fast $O(n^2 \log n)$ algorithm to calculate this probability for arbitrary upper and lower boundaries.

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Amit Moscovich, Boaz Nadler. 2016-06-05. Fast calculation of boundary crossing probabilities for Poisson processes. https://doi.org/10.1016/j.spl.2016.11.027

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