Limit at zero of the Brownian first-passage density

DOI10.1007/s004400200208zbMath1004.60081OpenAlexW2042058073MaRDI QIDQ1849740

Goran Peskir

Publication date: 1 December 2002

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s004400200208

zbMATH Keywords

integral equationBrownian motionstrong Markov propertyreflection principlefirst-passage timeupper and lower functioncurved nonlinear boundaryKolmogorov's test

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Volterra integral equations (45D05) Inverse problems for integral equations (45Q05)

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