A note on Erdős and Kac's identity: boundary crossing probabilities of Brownian motion over constant boundaries. A finite Markov chain imbedding approach

DOI10.1007/S11009-018-9686-4zbMATH Open1437.60043OpenAlexW2900129670MaRDI QIDQ2176388FDOQ2176388

Authors: Tung-Lung Wu 

Publication date: 4 May 2020

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-018-9686-4

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zbMATH Keywords

Brownian motionrandom walksfinite Markov chain imbeddingboundary crossing probabilitiesErdős and Kac's identity

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Brownian motion (60J65)

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Cited In (1)

• Boundary crossing probabilities of jump diffusion processes to time-dependent boundaries

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