Boundary crossings
نویسندگان
چکیده
منابع مشابه
Boundary non-crossings of Brownian pillow
Let B0(s, t) be a Brownian pillow with continuous sample paths, and let h, u : [0, 1] 2 → R be two measurable functions. In this paper we derive upper and lower bounds for the boundary non-crossing probability ψ(u;h) := P{B0(s, t) + h(s, t) ≤ u(s, t), ∀s, t ∈ [0, 1]}. Further we investigate the asymptotic behaviour of ψ(u; γh) with γ tending to ∞, and solve a related minimisation problem.
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ژورنال
عنوان ژورنال: BMJ
سال: 2013
ISSN: 1756-1833
DOI: 10.1136/bmj.f6556