Some conditional crossing results of Brownian motion over a piecewise-linear boundary

Mario Abundo

Statistics & Probability Letters, 2002, vol. 58, issue 2, 131-145

Abstract: Explicit formulae are found for the probability that the Brownian motion, Bt, up-crosses, in [0,T], a piecewise-linear function S(t), with the condition that the value of Bt is assigned at a future time u>T or at an intermediate time u

Keywords: Boundary-crossing; probability; First-passage-time; Piecewise-linear; boundary (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (11)

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