Analytic crossing probabilities for certain barriers by Brownian motion (Q939076)
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scientific article; zbMATH DE number 5314509
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| English | Analytic crossing probabilities for certain barriers by Brownian motion |
scientific article; zbMATH DE number 5314509 |
Statements
Analytic crossing probabilities for certain barriers by Brownian motion (English)
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20 August 2008
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Brownian motion
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boundary-crossing probability
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moving barrier
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first hitting time density
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last exit time density
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Schwartz distribution
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reflection principle
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0.8390379548072815
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0.8312106728553772
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0.8043302297592163
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0.8002662062644958
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0.7942858338356018
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