The first passage time on the (reflected) Brownian motion with broken drift hitting a random boundary

Author:

Zhao Zhenwen,Xi Yuejuan

Funder

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference17 articles.

1. Drift rate control of a Brownian processing system;Ata;Ann. Appl. Probab.,2005

2. First passage times of (reflected) Ornstein-Uhlenbeck processes over random jump boundaries;Bo;J. Appl. Probab,2011

3. Handbook of Brownian motion—facts and formulae;Borodin,2002

4. Stochastic boundary crossing probabilities for the Brownian motion;Che;J. Appl. Probab,2013

5. Generalized Itô formulae and space–time lebesgue-stieltjes integrals of local times;Elworthy,2007

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