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Stochastic barriers for the Wiener process

Published online by Cambridge University Press:  14 July 2016

C. Park*
Affiliation:
Miami University
J. A. Beekman*
Affiliation:
Ball State University
*
Postal address: Department of Mathematics and Statistics, Bachelor Hall, Miami University, Oxford, OH 45056, U.S.A.
∗∗ Postal address: Department of Mathematical Sciences, Ball State University, Muncie IN 47306, U.S.A.

Abstract

Let {W(t), 0 ≦ t < ∞} be the standard Wiener process. The probabilities of the type P[sup0≦tTW(t) − f(t) ≧ 0] have been extensively studied when f(t) is a deterministic function. This paper discusses the probabilities of the type P{sup0≦tTW(t) − [f(t) + X(t)] ≧ 0} when X(t) is a stochastic process. By taking compound Poisson processes as X(t), the paper gives procedures for finding such probabilities.

Type
Research Papers
Copyright
Copyright © Applied Probability Trust 1983 

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