An asymptotic expansion for one-sided Brownian exit densities

DOI10.1007/BF00534172zbMath0488.60086MaRDI QIDQ3949774

Brooks Ferebee

Publication date: 1983

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

zbMATH Keywords

asymptotic expansion; moving boundary; density of the first-exit time of a Brownian motion

Mathematics Subject Classification ID

60J65: Brownian motion

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Cites Work

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• The first-passage density of a continuous gaussian process to a general boundary
• The tangent approximation to one-sided Brownian exit densities
• Evaluations of barrier-crossing probabilities of Wiener paths
• Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test