Article ID Journal Published Year Pages File Type
10526669 Statistics & Probability Letters 2005 7 Pages PDF
Abstract
We show a lower bound for the boundary crossing probability P{∃z∈[0,1]:h(z)+B0(z)>u(z)} with B0 a Brownian bridge, h a trend function and u a boundary function. By that we get also a lower bound for the boundary crossing probability P{∃z∈[0,1]:h(z)+B0(z)
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
A lower bound for boundary crossing probabilities of Brownian bridge/motion with trend
Authors
, ,