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Partial barrier-absorption probabilities for the Wiener process

Published online by Cambridge University Press:  14 July 2016

C. Park  and
F. J. Schuurmann
C. Park*
Affiliation:
Miami University
F. J. Schuurmann*
Affiliation:
Miami University
*
∗ Postal address: Department of Mathematics and Statistics, Bachelor Hall, Oxford, OH 45056, U.S.A.
∗ Postal address: Department of Mathematics and Statistics, Bachelor Hall, Oxford, OH 45056, U.S.A.
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Abstract

Let {W(t), 0 ≦ t < ∞} be the standard Wiener process. The techniques of computing probabilities of the type are well known. The main purpose of this paper is to present ways of finding barrier-absorption probabilities when the barrier function is defined only on sub-intervals of [0, T].

Keywords

STANDARD WIENER PROCESSBROWNIAN MOTION PROCESSFIRST-PASSAGE TIME

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 20 , Issue 1 , March 1983 , pp. 103 - 110
Copyright
Copyright © Applied Probability Trust 1983 

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References

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