Randomization in the first hitting time problem
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Publication:1038440
DOI10.1016/j.spl.2009.08.016zbMath1184.60031MaRDI QIDQ1038440
Wanhe Zhang, Alexander Kreinin, Ken Jackson
Publication date: 18 November 2009
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2009.08.016
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Cites Work
- Boundary crossing of Brownian motion. Its relation to the law of the iterated logarithm and to sequential analysis
- On integral equations arising in the first-passage problem for Brownian motion
- Taylor expansions of curve-crossing probabilities
- Analysis of an Inverse First Passage Problem from Risk Management
- Term Structures of Credit Spreads with Incomplete Accounting Information
- Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test
