Remarks on “boundary crossing result for brownian motion”

DOI10.1007/BF02809485zbMath0815.60079OpenAlexW2329962853MaRDI QIDQ4320326

Griselda Deelstra

Publication date: 30 June 1995

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

Full work available at URL: https://doi.org/10.1007/bf02809485

zbMATH Keywords

Brownian motioncrossing probabilityreflection principle of Brownian motionapplications of Girsanov's theorem

Mathematics Subject Classification ID

Brownian motion (60J65)

Related Items (4)

Parisian ruin of the Brownian motion risk model with constant force of interest ⋮ Estimation of change-point models ⋮ BARRIER OPTIONS PRICING WITH JOINT DISTRIBUTION OF GAUSSIAN PROCESS AND ITS MAXIMUM ⋮ Boundary non-crossing probabilities for Slepian process

Cites Work

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• Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis
• Remarks on the methodology introduced by Goovaerts et al
• The first-passage density of a continuous gaussian process to a general boundary
• First exit densities of Brownian motion through one-sided moving boundaries
• Boundary Crossing Probabilities for Stationary Gaussian Processes and Brownian Motion
• A boundary-crossing result for Brownian motion
• The maximum size of a closed epidemic
• Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test
• Boundary Crossing Probabilities for the Wiener Process and Sample Sums
• The First Passage Time Density for Homogeneous Skip-free Walks on the Continuum

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