Download or read book A New Approach to the Computation of First Passage Time Distribution for Brownian Motion written by Zhiyong Jin and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of two novel contributions to the computation of first passage time distribution for Brownian motion. First, we extend the known formula for boundary crossing probabilities for Brownian motion to the discontinuous piecewise linear boundary. Second, we derive explicit formula for the first passage time density of Brownian motion crossing piecewise linear boundary. Further, we demonstrate how to approximate the boundary crossing probabilities and density for general nonlinear boundaries. Moreover, we use Monte Carlo simulation method and develop algorithms for the numerical computation. This method allows one to assess the accuracy of the numerical approximation. Our approach can be further extended to compute two-sided boundary crossing probabilities.