We find the moment generating function of the time at which Brownian motion exits from a region bounded by two nonconvergent straight lines, using the martingale stopping theorem.
Publié le : 1987-10-14
Classification:
Brownian motion,
stopping time,
moment generating function,
martingale,
60G40,
60J65
@article{1176991991,
author = {Escriba, L. Barba},
title = {A Stopped Brownian Motion Formula with Two Sloping Line Boundaries},
journal = {Ann. Probab.},
volume = {15},
number = {4},
year = {1987},
pages = { 1524-1526},
language = {en},
url = {http://dml.mathdoc.fr/item/1176991991}
}
Escriba, L. Barba. A Stopped Brownian Motion Formula with Two Sloping Line Boundaries. Ann. Probab., Tome 15 (1987) no. 4, pp. 1524-1526. http://gdmltest.u-ga.fr/item/1176991991/