On the computation of the survival probability of Brownian motion with drift in a closed time interval when the absorbing boundary is a step function

DOI10.1155/2015/391681zbMath1426.60108OpenAlexW1901239650WikidataQ59114215 ScholiaQ59114215MaRDI QIDQ1657921

Tristan Guillaume

Publication date: 14 August 2018

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2015/391681

Mathematics Subject Classification ID

Brownian motion (60J65)

Related Items (1)

On the first exit time of geometric Brownian motion from stochastic exponential boundaries

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