(Accepted Version) Online First Publishing Date: 2023-05-10 10:01:11
First Passage Density of Brownian Motion with Two-sided Piecewise Linear BoundariesEnglish Full Text
Zhen YU;Maozai TIAN;
Abstract: The first passage time has many applications in fields like finance, econometrics, statistics,and biology. However, explicit formulas for the first passage density have only been obtained for a few cases. This paper derives an explicit formula for the first passage density of Brownian motion with twosided piecewise continuous boundaries which may have some points of discontinuity. Approximations are used to obtain a simplified formula for estimating the first passage density. Moreover, the resul... More
Keywords：
Boundary non-crossing probability; first density passage density; two-sided piecewise continuous boundaries; Brownian motion;
- Series：
(A) Mathematics/ Physics/ Mechanics/ Astronomy
- Subject：
Mathematics
- Classification Code：
O211.6
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