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

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

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  • HAL Id : hal-02979986 , version 1

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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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