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Computing wedge probabilities

A new formula for the probability that a standard Brownian motion stays between two linear boundaries is proved. A simple algorithm is deduced. Uniform precision estimates are computed. Different implementations have been made available online as R packages.

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Co-authorshipAuthorshipAuthorshipTopic signalWComputing wedge probabilitiespreprint / 2016ABernard YcartResearcherARémy DrouilhetResearcherTmath.PR7239 works
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Computing wedge probabilities

preprint / 2016

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