This paper presents correction terms to the tangent approximation for the first-exit density of Brownian motion at distant boundaries. These lead to second-order approximations to the first-exit ...

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The FD= and FDHESSIAN= options specify the use of finite difference approximations of the derivatives. The FD= option specifies that all derivatives are approximated using function evaluations, and ...

The Annals of Statistics publishes research papers of the highest quality reflecting the many facets of contemporary statistics. Primary emphasis is placed on importance and originality, not on ...