The first-passage density of the Brownian motion process to a curved boundary

DOI10.2307/3214567MaRDI QIDQ4018323zbMATH OpenOpenAlexFDO

Authors James Durbin

Publication date 16 January 1993

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3214567

zbMATH Keywords

boundary-crossingBrownian bridgecontinuous Gauss-Markov processfirst-passage densitynumerical example

Mathematics Subject Classification ID

Brownian motion (60J65)

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