Approximating the first crossing-time density for a curved boundary

DOI10.2307/3318547zbMath0865.60069OpenAlexW4231966718MaRDI QIDQ1815793

Henry E. Daniels

Publication date: 7 July 1997

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.bj/1193839220

zbMATH Keywords

Brownian motionsequential analysiscurved boundaryfirst crossing-time density

Mathematics Subject Classification ID

Brownian motion (60J65) Boundary theory for Markov processes (60J50)

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