On the First Passage of the Integrated Wiener Process

Goldman, Malcolm

Ann. Math. Statist., Tome 42 (1971) no. 6, p. 2150-2155 / Harvested from Project Euclid

Résumé

The rate of first passage of the integrated Wiener process to $x > 0$ is determined in terms of the "$\frac{1}{2}$-winding time" distribution of H. P. McKean, Jr. The probability that the integrated Wiener process is currently at its maximum is approximated.

Publié le : 1971-12-14
Classification:

@article{1177693084,
     author = {Goldman, Malcolm},
     title = {On the First Passage of the Integrated Wiener Process},
     journal = {Ann. Math. Statist.},
     volume = {42},
     number = {6},
     year = {1971},
     pages = { 2150-2155},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1177693084}
}

Goldman, Malcolm. On the First Passage of the Integrated Wiener Process. Ann. Math. Statist., Tome 42 (1971) no. 6, pp.  2150-2155. http://gdmltest.u-ga.fr/item/1177693084/