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December 1, 1979Advances in Applied Probability150 citations

Corrected diffusion approximations in certain random walk problems

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DSDavid Siegmund

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Abstract

Correction terms are obtained for the diffusion approximation to one- and two-barrier ruin problems in finite and infinite time. The corrections involve moments of ladder-height distributions, and a method is given for calculating them numerically. Examples show that the corrected approximations can be much more accurate than the originals.

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David Siegmund (1979) studied this question.

synapsesocial.com/papers/6a6fcb77fe4101aa97dfe8c6https://doi.org/10.2307/1426855
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