A First Passage Problem for the Wiener Process

Cited in

(29)

Optimal stopping inequalities for the integral of Brownian paths
A note on portfolio optimization with path-dependent utility
The sharp constant for the Burkholder-Davis-Gundy inequality and non-smooth pasting
On the first exit time of geometric Brownian motion from stochastic exponential boundaries
Crossing an asymptotically square-root boundary by the Brownian motion
A sequential hypothesis test based on a generalized Azuma inequality
On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance
Sharp maximal inequalities for the martingale square bracket
Recovering a distribution from its translated fractional moments
Bounding the risk probability
On the length of the longest excursion
Crossing probabilities for a square root boundary by a bessel process
Sharp Square-Function Inequalities for Conditionally Symmetric Martingales
Optimal stopping problems for some Markov processes
Solving non–linear optimal stopping problems by the method of time–change
A weak-type inequality for the martingale square function
On Brownian slow points
On the Hausdorff dimension of the Brownian slow points
On the first hitting time density for a reducible diffusion process
Obstacle problems generated by the estimates of square function
Levels of crossing probability for Brownian motion
Optimal anytime regret with two experts
Uniqueness of first passage time distributions via Fredholm integral equations
The Kolmogorov Inequality for the Maximum of the Sum of Random Variables and Its Martingale Analogues
A note on the limit theorems for hitting times of path-dependent functionals of Itô semimartingales
Martin boundary of a space-time Brownian motion with drift killed at the boundary of a moving cone
First passage time of stochastic differential systems: probability estimation and probability guaranteed control
On the passage times of self-similar Gaussian processes on curved boundaries
Analytic crossing probabilities for certain barriers by Brownian motion

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