A stopped Brownian motion formula with two sloping line boundaries

DOI10.1214/AOP/1176991991zbMath0636.60082OpenAlexW2130814669MaRDI QIDQ1098179

L. Barba Escriba

Publication date: 1987

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1176991991

zbMATH Keywords

martingale methodsmoment generating functionfirst exit time

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (4)

Stochastic Boundary Crossing Probabilities for the Brownian Motion ⋮ First hitting time of Brownian motion on simple graph with skew semiaxes ⋮ Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering ⋮ Bounds and Approximations for Distributions of Weighted Kolmogorov-Smirnov Tests

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