Journal of Probability and Statistics / 2015 / Article / Tab 2

Research Article

On the Computation of the Survival Probability of Brownian Motion with Drift in a Closed Time Interval When the Absorbing Boundary Is a Step Function

Table 2

Survival probability for various sequences of upward absorbing steps as a function of volatility2.


0.738612880.468682240.31769242
, , 0.832952590.531876030.34607144
, , 0.742891720.512266390.40804930
, , 0.758965930.500064400.33948898
, , 0.885216550.558581230.35488207
, , 0.766270140.545464900.41461240
, , 0.831677910.556371890.38677980

All the values reported in this table are obtained by using Proposition 1 with , , , , , , , and .