On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary
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Publication:3792015
DOI10.2307/1427397zbMath0647.60087OpenAlexW4236814309MaRDI QIDQ3792015
Publication date: 1988
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/1427397
Ornstein-Uhlenbeck processtime reversalCameron-Martin-Girsanov formulalast exit timedistributions of the first hitting time
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