Brownian motion hitting probabilities for general two-sided square-root boundaries

DOI10.1007/S11009-009-9144-4zbMath1195.60108OpenAlexW2075240920MaRDI QIDQ973029

Doncho S. Donchev

Publication date: 28 May 2010

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-009-9144-4

zbMATH Keywords

Brownian motionhitting probabilitiestwo-sided square-root boundaries

Mathematics Subject Classification ID

Brownian motion (60J65)

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Cites Work

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• A Modification of the Sequential Probability Ratio Test to Reduce the Sample Size
• On the two-boundary first-crossing-time problem for diffusion processes
• Approximations of boundary crossing probabilities for a Brownian motion
• On Stopping Times for a Wiener Process

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