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Evaluation of the first-passage time probability to a square root boundary for the Wiener process

Published online by Cambridge University Press:  14 July 2016

Shunsuke Sato
Shunsuke Sato*
Affiliation:
Osaka University
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Abstract

This paper gives an asymptotic evaluation of the probability that the Wiener path first crosses a square root boundary. The result is applied to estimate the moments of the first-passage time distribution of the Ornstein–Uhlenbeck process to a constant boundary.

Keywords

WIENER PROCESSORNSTEIN–UHLENBECK PROCESSFIRST-PASSAGE TIME DISTRIBUTIONSQUARE ROOT BOUNDARY
Type
Short Communications
Information
Journal of Applied Probability , Volume 14 , Issue 4 , December 1977 , pp. 850 - 856
Copyright
Copyright © Applied Probability Trust 1977 

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References

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