Evaluations of absorption probabilities for the Wiener process on large intervals

@inproceedings{Park1980EvaluationsOA,
  title={Evaluations of absorption probabilities for the Wiener process on large intervals},
  author={C. Park and F. J. Schuurmann},
  year={1980}
}
Let {W(t),0 t 0 is small. This paper gives an efficient and accurate algorithm to compute such probabilities, and some applications to other Gaussian stochastic processes are discussed. ABSORPTION PROBABILITY; WIENER PROCESS; GAUSSIAN STOCHASTIC PROCESS; ORNSTEIN-UHLENBECK PROCESS