Understanding average Brownian exit time

Kimberly K. J. Kinateder

Statistics & Probability Letters, 2001, vol. 51, issue 1, 1-8

Abstract: Let W denote Brownian motion starting from the origin. The idea of this paper is give a computation of the expected exit time E[tau][a,b] from an interval [a,b], where a

Keywords: Brownian; motion; Stopping; time (search for similar items in EconPapers)
Date: 2001
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