First passage density of Brownian motion with two-sided piecewise linear boundaries

DOI10.1007/S10114-024-1090-0MaRDI QIDQ6580090zbMATH OpenFDO

Authors Zhen Yu, Maozai Tian

Publication date 29 July 2024

Published in Acta Mathematica Sinica, English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10114-024-1090-0

zbMATH Keywords

boundary non-crossing probabilityBrownian motionfirst density passage densitytwo-sided piecewise continuous boundaries

Mathematics Subject Classification ID

Brownian motion (60J65)

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Cites work

• A cumulant approach for the first-passage-time problem of the Feller square-root process
• Age representation of Lévy walks: partial density waves, relaxation and first passage time statistics
• An inverse first-passage problem revisited: the case of fractional Brownian motion, and time-changed Brownian motion
• Approximating the first crossing-time density for a curved boundary
• Boundary crossing probability for Brownian motion
• Boundary crossing probability for Brownian motion and general boundaries
• Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test
• Crossing probabilities for diffusion processes with piecewise continuous boundaries
• First passage time for Brownian motion and piecewise linear boundaries
• scientific article; zbMATH DE number 3320019 (Why is no real title available?)
• Linear bundary crossing probability for standard Brownian motion
• Multi-criteria mission abort policy for systems subject to two-stage degradation process
• ON A TWO-SIDED SEQUENTIAL t-TEST
• Pricing American drawdown options under Markov models
• PRICING AND HEDGING DOUBLE‐BARRIER OPTIONS: A PROBABILISTIC APPROACH
• Tests for a change-point
• The first-passage density of the Brownian motion process to a curved boundary
• The First-passage Time of the Brownian Motion to a Curved Boundary: an Algorithmic Approach
• Théorie de la spéculation.

Cited in

(1)

• Uniqueness of first passage time distributions via Fredholm integral equations

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