Analytic crossing probabilities for certain barriers by Brownian motion
| dc.creator | Kahale, Nabil | |
| dc.date | 2007-04-21 | |
| dc.date | 2008-08-28 | |
| dc.date.accessioned | 2026-07-07T09:58:32Z | |
| dc.date.available | 2026-07-07T09:58:32Z | |
| dc.description | We calculate crossing probabilities and one-sided last exit time densities for a class of moving barriers on an interval $[0,T]$ via Schwartz distributions. We derive crossing probabilities and first hitting time densities for another class of barriers on $[0,T]$ by proving a Schwartz distribution version of the method of images. Analytic expressions for crossing probabilities and related densities are given for new explicit and semi-explicit barriers. | |
| dc.description | Published in at http://dx.doi.org/10.1214/07-AAP488 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org) | |
| dc.identifier | https://arxiv.org/abs/0704.2826 | |
| dc.identifier | http://arxiv.org/abs/0704.2826 | |
| dc.identifier | Annals of Applied Probability 2008, Vol. 18, No. 4, 1424-1440 | |
| dc.identifier | doi:10.1214/07-AAP488 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/167752 | |
| dc.subject | Probability | |
| dc.subject | Functional Analysis | |
| dc.subject | Statistics Theory | |
| dc.subject | 60J65 (Primary) 60G40, 60J60 (Secondary) | |
| dc.title | Analytic crossing probabilities for certain barriers by Brownian motion | |
| dc.type | text |