Some conditional crossing results of Brownian motion over a piecewise-linear boundary

DOI10.1016/S0167-7152(02)00108-6zbMath1014.60078MaRDI QIDQ1871214

Mario Abundo

Publication date: 7 May 2003

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

first-passage-timeboundary-crossing probabilitypiecewise-linear boundary

Mathematics Subject Classification ID

Brownian motion (60J65)

Related Items (20)

Stochastic Boundary Crossing Probabilities for the Brownian Motion ⋮ One-Dimensional Reflected Diffusions with Two Boundaries and an Inverse First-Hitting Problem ⋮ Asymptotic of the running maximum distribution of a Gaussian Bridge ⋮ On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes ⋮ The mean of the running maximum of an integrated Gauss–Markov process and the connection with its first-passage time ⋮ An inverse first-passage problem for one-dimensional diffusions with random starting point ⋮ BOUNDARY CROSSING PROBABILITIES FOR THE CUMULATIVE SAMPLE MEAN ⋮ Intermediate-level crossings of a first-passage path ⋮ Gambling for resurrection and the heat equation on a triangle ⋮ First hitting time distributions for Brownian motion and regions with piecewise linear boundaries ⋮ On the first hitting time of a one-dimensional diffusion and a compound Poisson process ⋮ An Asymptotic Result for Non Crossing Probabilities of Brownian Motion with Trend ⋮ Multiperiod conditional valuation of barrier options with incomplete information ⋮ Distribution function of the blow up time of the solution of an anticipating random fatigue equation ⋮ On the first exit time of geometric Brownian motion from stochastic exponential boundaries ⋮ Solving an Inverse First-Passage-Time Problem for Wiener Process Subject to Random Jumps from a Boundary ⋮ A lower bound for boundary crossing probabilities of Brownian bridge/motion with trend ⋮ Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions ⋮ Exact simulation for the first hitting time of Brownian motion and Brownian bridge ⋮ Multidimensional hitting time results for Brownian bridges with moving hyperplanar boundaries

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