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Evaluations of barrier-crossing probabilities of Wiener paths

Published online by Cambridge University Press:  14 July 2016

C. Park  and
F. J. Schuurmann
C. Park
Affiliation:
Miami University, Oxford, Ohio
F. J. Schuurmann
Affiliation:
Miami University, Oxford, Ohio
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Abstract

Let {W(t), 0 ≦ t < ∞} be the standard Wiener process. The main purpose of this paper is to present ways of obtaining probabilities of Wiener paths crossing certain curves on various intervals. The results are extended to other kinds of Gaussian processes.

Keywords

STANDARD WIENER PROCESSCOVARIANCEGAUSSIAN PROCESSESBROWNIAN BRIDGEFIRST HITTING TIME
Type
Research Papers
Information
Journal of Applied Probability , Volume 13 , Issue 2 , June 1976 , pp. 267 - 275
Copyright
Copyright © Applied Probability Trust 1976 

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References

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