Journal of Probability and Statistics / 2015 / Article / Tab 3

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 3

Survival probability for various sequences of downward absorbing steps as a function of volatility3.


0.79394420.44782660.2294535
, , 0.89185610.55018970.2833042
, , 0.79517980.47228090.2852277
, , 0.80700470.47790410.2511610
, , 0.95888870.60258320.2968822
, , 0.81035390.51357170.3087369
, , 0.89267160.56671680.3125188

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