𝔖 Bobbio Scriptorium
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Boundary crossing result for the brownian motion

✍ Scribed by M. Teunen; M. Goovaerts


Book ID
112898489
Publisher
Springer-Verlag
Year
1993
Tongue
German
Weight
289 KB
Volume
21
Category
Article
ISSN
1864-0281

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πŸ“œ SIMILAR VOLUMES


Some conditional crossing results of Bro
✍ Mario Abundo πŸ“‚ Article πŸ“… 2002 πŸ› Elsevier Science 🌐 English βš– 150 KB

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