Boundary crossing probability for Brownian motion
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Publication:2731158
DOI10.1239/jap/996986650zbMath0986.60079OpenAlexW2110410763MaRDI QIDQ2731158
Klaus Pötzelberger, Liqun Wang
Publication date: 29 May 2002
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/jap/996986650
Monte Carlo methods (65C05) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)
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