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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

Tristan Guillaume 1
1 THEMA - Théorie économique, modélisation et applications
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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 : Tuesday, October 19, 2021 - 11:43:49 AM

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  • HAL Id : hal-02979986, version 1

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UNIV-CERGY | CNRS | 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⟩

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