Multidimensional hitting time results for Brownian bridges with moving hyperplanar boundaries

DOI10.1016/j.spl.2015.02.006zbMath1328.60187OpenAlexW2032722727MaRDI QIDQ2348321

Michael P. Atkinson, Dashi I. Singham

Publication date: 11 June 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.02.006

zbMATH Keywords

hitting timeBrownian bridgesfirst-passage timehyperplane boundaries

Mathematics Subject Classification ID

Brownian motion (60J65)

Related Items (2)

BOUNDARY CROSSING PROBABILITIES FOR THE CUMULATIVE SAMPLE MEAN ⋮ The De Vylder–Goovaerts conjecture holds within the diffusion limit

Cites Work

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• Hitting spheres with Brownian motion
• Hitting spheres from the exterior
• On the maximum of the generalized Brownian bridge
• Some conditional crossing results of Brownian motion over a piecewise-linear boundary
• The joint distribution of the hitting time and place to a sphere or spherical shell for Brownian motion with drift
• On the first passage problem for correlated Brownian motion
• An Exit Probability Approach to Solving High Dimensional Dirichlet Problems
• Hitting Lines with Two-Dimensional Brownian Motion
• A boundary-crossing result for Brownian motion
• Heuristic Approach to the Kolmogorov-Smirnov Theorems

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