Evaluation of the first-passage time probability to a square root boundary for the Wiener process

1 December 1977

journal article
Published by Cambridge University Press (CUP) in Journal of Applied Probability

Vol. 14 (4) , 850-856
https://doi.org/10.2307/3213358

Abstract

This paper gives an asymptotic evaluation of the probability that the Wiener path first crosses a square root boundary. The result is applied to estimate the moments of the first-passage time distribution of the Ornstein–Uhlenbeck process to a constant boundary.

Keywords

This publication has 4 references indexed in Scilit:

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