One-sided excursions of brownian motion, and an application
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Published:1978-09
Issue:3
Volume:15
Page:635-638
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ISSN:0021-9002
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Container-title:Journal of Applied Probability
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language:en
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Short-container-title:Journal of Applied Probability
Abstract
The value of a process on C[0,∞) when it starts its first one-sided excursion of width ≧ α is related to first hitting one of two boundaries. Explicit results for brownian motion are applied to a finite dam model.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Reference4 articles.
1. Limit theorems for finite dams
2. Imhof J. P. (1974) Oscillations of monotone amplitude and application. Transactions of the 7th Prague conference and 1974 EMS.
3. A note on random walks