Some conditional crossing results of Brownian motion over a piecewise-linear boundary
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
Volume (Year): 58 (2002)
Issue (Month): 2 (June)
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