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Statistics and Computing

, Volume 17, Issue 1, pp 1–10 | Cite as

Confidence bands for Brownian motion and applications to Monte Carlo simulation

  • W. S. Kendall
  • J.-M. Marin
  • C. P. Robert
Article

Abstract

Minimal area regions are constructed for Brownian paths and perturbed Brownian paths. While the theoretical optimal region cannot be obtained in closed form, we provide practical confidence regions based on numerical approximations and local time arguments. These regions are used to provide informal convergence assessments for both Monte Carlo and Markov Chain Monte Carlo experiments, via the Brownian asymptotic approximation of cumulative sums.

Keywords

Boundary crossing probability Brownian motion Central limit theorem CUSUM Local time Monte Carlo path Simultaneous confidence region 

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Copyright information

© Springer Science+Business Media, LLC 2007

Authors and Affiliations

  • W. S. Kendall
    • 1
  • J.-M. Marin
    • 2
  • C. P. Robert
    • 3
  1. 1.Department of StatisticsUniversity of WarwickCoventryEngland
  2. 2.Projet select,INRIAfuturs,Laboratoire de MathématiquesUniversité d’Orsay (Bât. 425)OrsayFrance
  3. 3.CEREMADEUniversité Paris Dauphine and CREST,INSEEParisFrance

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