Some conditional crossing results of Brownian motion over a piecewise-linear boundary

Author:

Abundo Mario

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference27 articles.

1. Abundo, M., 1998. Some remarks on first-crossing-time problem for one-dimensional diffusion processes. In: Trappl, R. (Ed.), Cybernetics and Systems ’98. Austrian Society for Cybernetics Studies, Vienna, pp. 384–389.

2. Abundo, M., 2000a. On boundary up-crossing for Brownian motion. In: Trappl, R. (Ed.), Cybernetics and Systems 2000. Austrian Society for Cybernetics Studies, Vienna, pp. 295–300.

3. On first-crossing times of one-dimensional diffusions over two time-dependent boundaries;Abundo;Stochastic Anal. Appl.,2000

4. On first-passage-times for one-dimensional jump-diffusion processes;Abundo;Probab. Math. Statist.,2000

5. A modification of the sequential probability ratio test to reduce the sample size;Anderson;Ann. Math. Statist.,1960

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