Some boundary-crossing results for linea
β
Changsun Choi; Dougu Nam
π
Article
π
2003
π
Elsevier Science
π
English
β 228 KB
We evaluate some boundary-crossing time density functions for time-changed Brownian motion. As examples, we evaluate the ΓΏrst passage time densities of Ornstein-Uhlenbeck process to exponential boundaries and Brownian bridge to two linearly shrinking boundaries. We also evaluate explicitly the ΓΏrst