Skip to Main content Skip to Navigation
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
Complete list of metadata
https://hal-cyu.archives-ouvertes.fr//hal-02979986
Contributor : Cybu Recherche Connect in order to contact the contributor
Submitted on : Tuesday, October 27, 2020 - 1:23:59 PM
Last modification on : Tuesday, October 19, 2021 - 11:43:49 AM

Identifiers

  • HAL Id : hal-02979986, version 1

Collections

CNRS | UNIV-CERGY | THEMA-UMR8184 | CY-TECH-SM

Citation

Tristan Guillaume. 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. Journal of Probability and Statistics, Hindawi Publishing Corporation, 2015, pp.1-22. ⟨hal-02979986⟩

Export

BibTeX TEI DC DCterms EndNote Datacite

Share

Metrics

Record views

14

For any questions or support regarding filing in HAL, contact the Research Support Service.

recherche-bu@ml.u-cergy.fr