Boundary crossing result for the brownian motion

DOI10.1007/BF02809403zbMath0788.60096OpenAlexW163663576MaRDI QIDQ3141120

M. Teunen, Marc J. Goovaerts

Publication date: 1 June 1994

Published in: Blätter der DGVFM (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02809403

zbMATH Keywords

Brownian motionfundamental solutionboundary crossing probabilitiesKac method

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Brownian motion (60J65) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

Related Items (2)

Double boundary crossing result for the brownian motion ⋮ Boundary non-crossings of Brownian pillow

Cites Work

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• A stochastic approach to insurance cycles
• A boundary-crossing result for Brownian motion
• On Distributions of Certain Wiener Functionals

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