Estimates of the Exit Probability for Two Correlated Brownian Motions

DOI10.1239/aap/1363354102zbMath1262.60082OpenAlexW2050554859MaRDI QIDQ4915649

Xiuping Wang, Jing Hai Shao

Publication date: 11 April 2013

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1363354102

zbMATH Keywords

reflection principleexit probabilityboundary crossing probabilitycorrelated Brownian motion

Mathematics Subject Classification ID

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

Related Items (4)

Extremes and First Passage Times of Correlated Fractional Brownian Motions ⋮ A structure-preserving method for the distribution of the first hitting time to a moving boundary for some Gaussian processes ⋮ First passage times of two-dimensional correlated processes: analytical results for the Wiener process and a numerical method for diffusion processes ⋮ Exact asymptotics of component-wise extrema of two-dimensional Brownian motion

Cites Work

• Boundary crossing probabilities and statistical applications
• On the first passage problem for correlated Brownian motion
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• A Modification of the Sequential Probability Ratio Test to Reduce the Sample Size
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• ON ESTIMATES AND THE ASYMPTOTIC BEHAVIOR OF NONEXIT PROBABILITIES OF A WIENER PROCESS TO A MOVING BOUNDARY
• The first-passage density of the Brownian motion process to a curved boundary
• Boundary crossing probability for Brownian motion and general boundaries
• Heuristic Approach to the Kolmogorov-Smirnov Theorems
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