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 - Archive ouverte HAL Access content directly
Journal Articles Journal of Probability and Statistics Year : 2015

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
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Théorie économique, modélisation et applications

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Humanities and Social Sciences Economics and Finance

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Submitted on : Tuesday, October 27, 2020-1:23:59 PM

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hal-02979986 , version 1 (27-10-2020)

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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, 2015, pp.1-22. ⟨hal-02979986⟩

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