On the Computation of the Survival Probability of Brownian motion with Drift in a Closed Time Interval when the Absorbing Boundary is a Step Function

Tristan Guillaume

Journal articles

On the Computation of the Survival Probability of Brownian motion with Drift in a Closed Time Interval when the Absorbing Boundary is a Step Function

Tristan Guillaume ¹

1 THEMA - Théorie économique, modélisation et applications

Document type :

Journal articles

Domain :

Humanities and Social Sciences / Economics and Finance

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https://hal-cyu.archives-ouvertes.fr//hal-02979986
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Submitted on : Tuesday, October 27, 2020 - 1:23:59 PM
Last modification on : Thursday, January 21, 2021 - 11:06:02 AM

On the Computation of the Survival Probability of Brownian motion with Drift in a Closed Time Interval when the Absorbing Boundary is a Step Function

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On the Computation of the Survival Probability of Brownian motion with Drift in a Closed Time Interval when the Absorbing Boundary is a Step Function

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