Stochastic Boundary Crossing Probabilities for the Brownian Motion

DOI10.1239/jap/1371648950zbMath1291.60081OpenAlexW2107067266MaRDI QIDQ5299567

Xiaonan Che, Angelos Dassios

Publication date: 26 June 2013

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.jap/1371648950

zbMATH Keywords

Brownian motionboundary crossing probabilityfirst passage time probability

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (6)

Closed form valuation of barrier options with stochastic barriers ⋮ First hitting time of Brownian motion on simple graph with skew semiaxes ⋮ The first passage time on the (reflected) Brownian motion with broken drift hitting a random boundary ⋮ Optimal dividends under Markov-modulated bankruptcy level ⋮ First hitting time distributions for Brownian motion and regions with piecewise linear boundaries ⋮ On the first exit time of geometric Brownian motion from stochastic exponential boundaries

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