A New Approach to the Computation of First Passage Time Distribution for Brownian Motion
This thesis consists of two novel contributions to the computation of first passage time distribution for Brownian motion. First, we extend the known formula for boundary crossing probabilities for Brownian motion to the discontinuous piecewise linear boundary. Second, we derive explicit formula for...
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2014
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| Online Access: | http://hdl.handle.net/1993/23831 |