Linear and non-linear boundary crossing probabilities for Brownian motion and related processes
We propose a simple and general method to obtain the boundary crossing probability for Brownian motion. This method can be easily extended to higher dimensional of Brownian motion. It also covers certain classes of stochastic processes associated with Brownian motion. The basic idea of the method...
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Applied Probability Trust - Journal of Applied Probability
2012
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| Online Access: | http://hdl.handle.net/1993/8123 |