First exit densities of Brownian motion through one-sided moving boundaries-Reference-Cited by-同舟云学术

First exit densities of Brownian motion through one-sided moving boundaries

Published:1981 Issue:2 Volume:55 Page:133-148
ISSN:0044-3719
Container-title:Zeitschrift f�r Wahrscheinlichkeitstheorie und Verwandte Gebiete
language:en
Short-container-title:Z. Wahrscheinlichkeitstheorie verw Gebiete

Author:

Jennen Christel,Lerche Hans Rudolf

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Statistics and Probability,Analysis,General Mathematics,Statistics and Probability,Analysis

Link

http://link.springer.com/content/pdf/10.1007/BF00535156.pdf

Reference7 articles.

1. Ito, K., McKean, H.P.: Diffusion Processes. Die Grundlehren der mathematischen Wissenschaften, Vol. 125. Berlin, Heidelberg, New York: Springer 1974

2. Jennen, C., Lerche, H.R.: First exit distributions of the Brownian motion through one-sided moving boundaries. Technical Report, Heidelberg, 1980

3. Lai, T.L., Siegmund, D.: A nonlinear renewal theory with applications to sequential analysis I. Ann. Stat. 5, 946?954 (1977)

4. Robbins, H., Siegmund, D.: Statistical tests of power one and their integral representation of solutions of certain partial differential equations. Bull. Inst. Math. Acad. Sinica 1, 93?120 (1973)

5. Siegmund, D.: Repeated significance tests for a normal mean. Biometrika 64, 117?189 (1977)

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