The first passage time on the (reflected) Brownian motion with broken drift hitting a random boundary

DOI10.1016/j.spl.2021.109040zbMath1457.60127arXiv2010.06397OpenAlexW3120490701MaRDI QIDQ2658013

Yuejuan Xi, Zhenwen Zhao

Publication date: 18 March 2021

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

Full work available at URL: https://arxiv.org/abs/2010.06397

zbMATH Keywords

Laplace transformthe first passage timebroken drift

Mathematics Subject Classification ID

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

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