Crossing an asymptotically square-root boundary by the Brownian motion

DOI10.1134/S0081543822010096zbMath1495.60076OpenAlexW4225150367MaRDI QIDQ2135124

Günter Hinrichs, Vitali Wachtel, Denis Denisov, Aleksandr Ivanovich Sakhanenko

Publication date: 4 May 2022

Published in: Proceedings of the Steklov Institute of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0081543822010096

zbMATH Keywords

Brownian motionparabolic cylinder functionspacetime harmonic function

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

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