Linear Boundary Crossing Probability for Standard Brownian Motion
  
Key Words: standard Brownian motion   the first passage time   the first hitting time   two-sided piecewise linear boundary.  
Fund Project:
Author NameAffiliation
XU Run Dept. of Math.
Qufu Normal University
Shandong
China 
Lü Yu-hua Dept. of Math.
Qufu Normal University
Shandong
China
Dept. of Math.
Nankai University
Tianjin
China 
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Abstract:
      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.
Citation:
DOI:10.3770/j.issn:1000-341X.2005.04.024
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