Analytic crossing probabilities for certain barriers by Brownian motion

DOI10.1214/07-AAP488zbMath1146.60067arXiv0704.2826OpenAlexW2079947772MaRDI QIDQ939076

Nabil Kahale

Publication date: 20 August 2008

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

Full work available at URL: https://arxiv.org/abs/0704.2826

zbMATH Keywords

Brownian motionSchwartz distributionreflection principleboundary-crossing probabilityfirst hitting time densitylast exit time densitymoving barrier

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (5)

Lie symmetries methods in boundary crossing problems for diffusion processes ⋮ Recovering a distribution from its translated fractional moments ⋮ Approximations for weighted Kolmogorov-Smirnov distributions via boundary crossing probabilities ⋮ Piecewise constant martingales and lazy clocks ⋮ Flexing the default barrier

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