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A reconciliation of two different expressions for the first-passage density of brownian motion to a curved boundary
Published online by Cambridge University Press: 14 July 2016
Abstract
An expression for the first-passage density of Brownian motion to a curved boundary due to Daniels and Lerche is shown to give the same result as a different form due to the author. The equivalence is extended to continuous Gaussian Markov processes.
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- Copyright © Applied Probability Trust 1988
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