Hostname: page-component-78c5997874-lj6df Total loading time: 0 Render date: 2024-11-19T23:46:26.859Z Has data issue: false hasContentIssue false
  • English
  • Français

One-sided excursions of brownian motion, and an application

Published online by Cambridge University Press:  14 July 2016

J. P. Imhof
J. P. Imhof*
Affiliation:
University of Geneva
Get access Rights & Permissions [Opens in a new window]

Abstract

The value of a process on C[0,∞) when it starts its first one-sided excursion of width ≧ α is related to first hitting one of two boundaries. Explicit results for brownian motion are applied to a finite dam model.

Keywords

BROWNIAN MOTIONFIRST PASSAGEFINITE DAM
Type
Short Communications
Information
Journal of Applied Probability , Volume 15 , Issue 3 , September 1978 , pp. 635 - 638
Copyright
Copyright © Applied Probability Trust 1978 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Feller, W. (1968) An Introduction to Probability Theory and its Applications, Vol. 1, 3rd edn. Wiley, New York.Google Scholar
Imhof, J. P. (1974) Oscillations of monotone amplitude and application. Transactions of the 7th Prague conference and 1974 EMS. Google Scholar
Kennedy, D. P. (1973) Limit theorems for finite dams. Stoch. Proc. Appl. 1, 269–278.CrossRefGoogle Scholar
Phatarfod, R. M., Speed, T. P. and Walker, M. (1971) A note on random walks. J. Appl. Prob. 8, 198–201.Google Scholar