Evaluation of the first-passage time probability to a square root boundary for the Wiener process

DOI10.2307/3213358zbMath0408.60077OpenAlexW2084997691MaRDI QIDQ4195726

Shunsuke Sato

Publication date: 1977

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

Full work available at URL: https://doi.org/10.2307/3213358

zbMATH Keywords

Wiener ProcessOrnstein-Uhlenbeck ProcessAsymptotic EvaluationEstimate the Moments of the First- Passage Time

Mathematics Subject Classification ID

Brownian motion (60J65)

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