The escape probability for integrated Brownian motion with non-zero drift
From MaRDI portal
Publication:4322046
DOI10.2307/3215317zbMath0818.60072OpenAlexW4239426666MaRDI QIDQ4322046
Peter Clifford, R. A. Atkinson
Publication date: 7 August 1995
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3215317
Gaussian processes (60G15) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Sample path properties (60G17)
Related Items
A first-passage-place problem for integrated diffusion processes ⋮ Random walk with barycentric self-interaction