An Excursion characterization of the first hitting time of Brownian motion in a smooth boundary

DOI10.1515/ROSE.2007.003zbMath1142.60387OpenAlexW1977628023MaRDI QIDQ5430544

Doncho S. Donchev

Publication date: 16 December 2007

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/rose.2007.003

zbMATH Keywords

Brownian excursionconditional processboundary crossingGirsanov transform

Mathematics Subject Classification ID

Brownian motion (60J65)

Related Items (1)

Unnamed Item

Cites Work

• Approximating the first crossing-time density for a curved boundary
• On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary
• The tangent approximation to one-sided Brownian exit densities
• The first-passage density of the Brownian motion process to a curved boundary
• Evaluation of the first-passage time probability to a square root boundary for the Wiener process
• Boundary crossing probability for Brownian motion and general boundaries
• Approximations of boundary crossing probabilities for a Brownian motion

This page was built for publication: An Excursion characterization of the first hitting time of Brownian motion in a smooth boundary