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Some boundary-crossing results for linear diffusion processes

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  • Choi, Changsun
  • Nam, Dougu

Abstract

We evaluate some boundary-crossing time density functions for time-changed Brownian motion. As examples, we evaluate the first passage time densities of Ornstein-Uhlenbeck process to exponential boundaries and Brownian bridge to two linearly shrinking boundaries. We also evaluate explicitly the first and last passage time distributions of Brownian motion for two linear boundaries.

Suggested Citation

  • Choi, Changsun & Nam, Dougu, 2003. "Some boundary-crossing results for linear diffusion processes," Statistics & Probability Letters, Elsevier, vol. 62(3), pages 281-291, April.
    • Handle: RePEc:eee:stapro:v:62:y:2003:i:3:p:281-291
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    Cited by:

    1. Tristan Guillaume, 2011. "Some sequential boundary crossing results for geometric Brownian motion and their applications in financial engineering," Post-Print hal-00924277, HAL.
    2. Peter Thompson, 2008. "Desperate Housewives? Communication Difficulties and the Dynamics of Marital (un)Happiness," Economic Journal, Royal Economic Society, vol. 118(532), pages 1640-1669, October.
    3. Klepper, Steven & Thompson, Peter, 2010. "Disagreements and intra-industry spinoffs," International Journal of Industrial Organization, Elsevier, vol. 28(5), pages 526-538, September.

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