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Partial barrier-absorption probabilities for the Wiener process
Published online by Cambridge University Press: 14 July 2016
Abstract
Let {W(t), 0 ≦ t < ∞} be the standard Wiener process. The techniques of computing probabilities of the type are well known. The main purpose of this paper is to present ways of finding barrier-absorption probabilities when the barrier function is defined only on sub-intervals of [0, T].
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- Copyright © Applied Probability Trust 1983
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