Brownian motion hitting probabilities for general two-sided square-root boundaries

DOI10.1007/S11009-009-9144-4zbMATH Open1195.60108OpenAlexW2075240920MaRDI QIDQ973029FDOQ973029

Authors: Doncho S. Donchev 

Publication date: 28 May 2010

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-009-9144-4

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zbMATH Keywords

Brownian motionhitting probabilitiestwo-sided square-root boundaries

Mathematics Subject Classification ID

Brownian motion (60J65)

Cites Work

• Approximations of boundary crossing probabilities for a Brownian motion
• A Modification of the Sequential Probability Ratio Test to Reduce the Sample Size
• On the two-boundary first-crossing-time problem for diffusion processes
• On Stopping Times for a Wiener Process
• Title not available (Why is that?)

Cited In (12)

• How flat is flat in random interface growth?
• Simultaneous boundary hitting by coupled reflected Brownian motions
• On the first hitting time and the last exit time for a Brownian motion to/from a moving boundary
• Hitting probabilities for Brownian motion on Riemannian manifolds.
• Renewal series and square-root boundaries for Bessel processes
• Optimal anytime regret with two experts
• Exit probability levels of diffusion processes
• Hitting probabilities of killed brownian motion : a study on geometric regularity
• First hitting time distributions for Brownian motion and regions with piecewise linear boundaries
• Title not available (Why is that?)
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• Hitting place probabilities for two-dimensional diffusion processes

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