Brownian Motion Hitting Probabilities for General Two-Sided Square-Root Boundaries

Doncho S. Donchev ()
Additional contact information
Doncho S. Donchev: Sofia University

Methodology and Computing in Applied Probability, 2010, vol. 12, issue 2, 237-245

Abstract: Abstract Let B t be a Brownian motion, $g(t) = a\sqrt{t+c}$ , $f(t) = b\sqrt{t+c}$ , t ≥ 0, a 0, T > 0, and τ be the first hitting time of B t either in f(t) or in g(t). We study the hitting probabilities $v(t,x)=P_{t,x}\left(\tau\leq T,\phantom{1}B_{\tau}=f\left(\tau\right)\right)$ for 0

Keywords: Hitting probabilities; Two-sided boundaries; 60G12 (search for similar items in EconPapers)
Date: 2010
References: View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s11009-009-9144-4 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:metcap:v:12:y:2010:i:2:d:10.1007_s11009-009-9144-4

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/11009

DOI: 10.1007/s11009-009-9144-4

Access Statistics for this article

Methodology and Computing in Applied Probability is currently edited by Joseph Glaz

More articles in Methodology and Computing in Applied Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().