Analytic crossing probabilities for certain barriers by Brownian motion

Authors
Citation
Kahale, Nabil, Analytic crossing probabilities for certain barriers by Brownian motion, Annals of applied probability , 18(4), 2008, pp. 1424-1440
ISSN journal
10505164
Volume
18
Issue
4
Year of publication
2008
Pages
1424 - 1440
Database
ACNP
SICI code
Abstract
We calculate crossing probabilities and one-sided last exit time densities for a class of moving barriers on an interval [0, T] via Schwartz distributions. We derive crossing probabilities and first hitting time densities for another class of barriers on [0, T] by proving a Schwartz distribution version of the method of images. Analytic expressions for crossing probabilities and related densities are given for new explicit and semi-explicit barriers.