A stopped Brownian motion formula with two sloping line boundaries (Q1098179)
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scientific article; zbMATH DE number 4036864
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A stopped Brownian motion formula with two sloping line boundaries |
scientific article; zbMATH DE number 4036864 |
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A stopped Brownian motion formula with two sloping line boundaries (English)
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1987
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Using martingale methods, the author derives an explicit expression for the moment generating function of the first time at which Brownian motion leaves a region bounded by two separated straight lines.
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first exit time
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martingale methods
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moment generating function
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