Crossing probabilities for a square root boundary by a bessel process
Author:
Publisher
Informa UK Limited
Subject
Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/03610928108828182
Reference10 articles.
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3. Blackwell, D. and Freedman, D. A Remark on the Coin-tossing Game. Annals of Mathematical Statistics. Vol. 35, pp.1345–1347.
4. Breiman, L. First Exit Times from a Square Root Boundary. Proceedings of the 5th Berkeley Symposium on Mathematical Statistics and Probability. Vol. 2, pp.9–16.
5. An absorption probability for the Ornstein-Uhlenbeck process
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