Computation of the Survival Probability of Brownian Motion with Drift Subject to an Intermittent Step Barrier

Computation of the Survival Probability of Brownian Motion with Drift Subject to an Intermittent Step Barrier

This article provides an exact formula for the survival probability of Brownian motion with drift when the absorbing boundary is defined as an intermittent step barrier, i.e., an alternate sequence of time intervals when the boundary is piecewise constant, and time intervals without any defined boun...

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Bibliografische gegevens
Hoofdauteur: Tristan Guillaume
Formaat: Artikel
Taal:English
Gepubliceerd in: MDPI AG 2024-09-01
Reeks:AppliedMath
Onderwerpen:
survival probability
Brownian motion
boundary crossing
first-passage time
intermittent barrier
step barrier
Online toegang:https://www.mdpi.com/2673-9909/4/3/58

Internet

https://www.mdpi.com/2673-9909/4/3/58

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