Taylor expansions of curve-crossing probabilities

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DOI10.2307/3318444zbMath0945.60084OpenAlexW1964511087MaRDI QIDQ1962753

Publication date: 31 January 2000

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1171290399

zbMATH Keywords

Brownian motion harmonic functions Cameron-Martin-Girsanov theorem curve-crossing probabilities

Mathematics Subject Classification ID

Brownian motion (60J65)

Related Items (2)

Extremes of Gaussian processes over an infinite horizon ⋮ Randomization in the first hitting time problem

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