Laplace transforms of the Brownian motion's first exit from a strip

DOI10.7546/CRABS.2021.05.04MaRDI QIDQ5154341zbMATH OpenOpenAlexFDO

Authors Tsvetelin S. Zaevski

Publication date 4 October 2021

Full work available at URL https://doi.org/10.7546/crabs.2021.05.04

zbMATH Keywords

Laplace transformBrownian motionstopping timesfirst exittwo sided boundaries

Mathematics Subject Classification ID

Brownian motion (60J65) Laplace transform (44A10) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited in

(5)

• On Brownian exit times from perturbed multi-strips
• Dual representations of Laplace transforms of Brownian excursion and generalized meanders
• Laplace transforms for the first hitting time of a Brownian motion
• A result on the Laplace transform associated with the sticky Brownian motion on an interval
• Laplace transforms related to excursions of a one-dimensional diffusion

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