Analytic crossing probabilities for certain barriers by Brownian motion

Details Analytic crossing probabilities for certain barriers by Brownian motion Analytic crossing probabilities for certain barriers by Brownian motion

2007-04-21

arxiv.org/abs/0704.2826v2

Annals of Applied Probability 2008, Vol. 18, No. 4, 1424-1440

Mathematics

Probability

Published in at http://dx.doi.org/10.1214/07-AAP488 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Inst

Scientific paper

10.1214/07-AAP488

We calculate crossing probabilities and one-sided last exit time densities for a class of moving barriers on an interval $[0,T]$ via Schwartz distributions. We derive crossing probabilities and first hitting time densities for another class of barriers on $[0,T]$ by proving a Schwartz distribution version of the method of images. Analytic expressions for crossing probabilities and related densities are given for new explicit and semi-explicit barriers.

Affiliated with

Also associated with

No associations

Rating

Analytic crossing probabilities for certain barriers by Brownian motion does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Analytic crossing probabilities for certain barriers by Brownian motion, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Analytic crossing probabilities for certain barriers by Brownian motion will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-466509