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Approximations of Boundary Crossing Probabilities for a Brownian Motion

✍ Scribed by Alex Novikov, Volf Frishling and Nino Kordzakhia

Book ID
118032886
Publisher
Applied Probability Trust
Year
1999
Tongue
English
Weight
940 KB
Volume
36
Category
Article
ISSN
0021-9002

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Explicit formulae are found for the probability that the Brownian motion, B t ; up-crosses, in [0; T ]; a piecewise-linear function S(t); with the condition that the value of B t is assigned at a future time u ΒΏ T or at an intermediate time u Β‘ T . Also, the analogous conditional probability concern