On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary (Q3792015)
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scientific article; zbMATH DE number 4056730
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| English | On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary |
scientific article; zbMATH DE number 4056730 |
Statements
On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary (English)
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1988
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Ornstein-Uhlenbeck process
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distributions of the first hitting time
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last exit time
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Cameron-Martin-Girsanov formula
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time reversal
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0.8506349921226501
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0.8365052938461304
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0.8146868944168091
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0.8140674829483032
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0.8133180737495422
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