On the Brownian first-passage time over a one-sided stochastic boundary

DOI10.4213/TVP1956MaRDI QIDQ3842413zbMATH OpenOpenAlexFDO

Authors Goran Peskir, Albert N. Shiryaev

Publication date 21 January 1999

Published in Teoriya Veroyatnostei i ee Primeneniya (Search for Journal in Brave)

Full work available at URL http://epubs.siam.org/sam-bin/dbq/article/97999

zbMATH Keywords

Brownian motionfirst-passage timestochastic boundary

Mathematics Subject Classification ID

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

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• First hitting time distributions for Brownian motion and regions with piecewise linear boundaries
• Capacity estimates, boundary crossings and the Ornstein-Uhlenbeck process in Wiener space
• Crossing an asymptotically square-root boundary by the Brownian motion
• The First Passage Time Density of Brownian Motion and the Heat Equation with Dirichlet Boundary Condition in Time Dependent Domains
• The First-passage Time of the Brownian Motion to a Curved Boundary: an Algorithmic Approach
• scientific article; zbMATH DE number 1101425 (Why is no real title available?)
• On the First-Passage Time of a Diffusion Process Over a One-Sided Stochastic Boundary
• Averaging problems of running processes associated with Brownian motion and applications
• First passage times of L\'evy processes over a one-sided moving boundary
• Asymptotics of first-passage time over a one-sided stochastic boundary
• Asymptotics of first-passage time over a one-sided stochastic boundary

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