标准布朗运动关于线性边界通过概率

Linear Boundary Crossing Probability for Standard Brownian Motion

中文关键词:  标准布朗运动  首出时  首中时  双侧逐段线性边界

英文关键词:standard Brownian motion  the first passage time  the first hitting time  two-sided piecewise linear boundary.

中文摘要:

      该文讨论了布朗运动关于线性边界的首出时问题,求出了布朗运动停留在双侧(单侧)逐段线性边界内的概率的分析表达式.

英文摘要:

      In this paper, the problem of the first passage time for Brownian motion to cross linear boundary is discussed. The two-sided piecewise linear boundary crossing probability for Brownian motion is derived in closed form.