Multidimensional hitting time results for Brownian bridges with moving hyperplanar boundaries

DOI10.1016/J.SPL.2015.02.006MaRDI QIDQ2348321zbMATH OpenOpenAlexFDO

Authors Michael P. Atkinson, Dashi I. Singham

Publication date 11 June 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2015.02.006

zbMATH Keywords

Brownian bridgesfirst-passage timehitting timehyperplane boundaries

Mathematics Subject Classification ID

Brownian motion (60J65)

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Cites work

• A boundary-crossing result for Brownian motion
• An Exit Probability Approach to Solving High Dimensional Dirichlet Problems
• Heuristic Approach to the Kolmogorov-Smirnov Theorems
• Hitting Lines with Two-Dimensional Brownian Motion
• Hitting spheres from the exterior
• Hitting spheres with Brownian motion
• scientific article; zbMATH DE number 530056 (Why is no real title available?)
• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• On the first passage problem for correlated Brownian motion
• On the maximum of the generalized Brownian bridge
• Some conditional crossing results of Brownian motion over a piecewise-linear boundary
• The joint distribution of the hitting time and place to a sphere or spherical shell for Brownian motion with drift

Cited in

(6)

• Path collapse for multidimensional Brownian motion with rebirth
• On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes
• Boundary crossing probabilities for the cumulative sample mean
• The de Vylder-Goovaerts conjecture holds within the diffusion limit
• First-exit-time problems for two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses
• On the probability of hitting the boundary for Brownian motions on the SABR plane

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