Double boundary crossing result for the brownian motion

DOI10.1080/03461238.1994.10413936zbMath0811.60066OpenAlexW2015095774MaRDI QIDQ4322969

M. Teunen, Marc J. Goovaerts

Publication date: 19 April 1995

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1994.10413936

zbMATH Keywords

Brownian motioncrossing probabilityfunctional integralbounded crossing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Brownian motion (60J65)

Related Items

The first rendezvous time of Brownian motion and compound Poisson-type processes ⋮ Exact asymptotics of component-wise extrema of two-dimensional Brownian motion ⋮ On double-boundary non-crossing probability for a class of compound processes with applications

Cites Work

• Boundary crossing result for the brownian motion
• A Modification of the Sequential Probability Ratio Test to Reduce the Sample Size
• Heuristic Approach to the Kolmogorov-Smirnov Theorems
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