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One-sided excursions of brownian motion, and an application
Published online by Cambridge University Press: 14 July 2016
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.
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- Copyright © Applied Probability Trust 1978