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Teoriya Veroyatnostei i ee Primeneniya, 1971, Volume 16, Issue 3, Pages 458–465 (Mi tvp2259)  

This article is cited in 23 scientific papers (total in 23 papers)

On stopping times for the Wiener process

A. A. Novikov

Moscow Institute of Physics and Technology
Abstract: In the paper, the expectations $\mathbf M(\tau(a,b,c)+c)^\nu$, $-\infty<\nu<\infty$, are found where $\tau(a,b,c)$ is the first passage time of the Wiener process for a one-side bound $a+b(t+c)^{1/2}$.
A moment identity for stochastic integrals is proved which can be useful when studying the properties of Markov times.
Received: 03.06.1969
English version:
Theory of Probability and its Applications, 1971, Volume 16, Issue 3, Pages 449–456
DOI: https://doi.org/10.1137/1116049
Bibliographic databases:
Language: Russian
Citation: A. A. Novikov, “On stopping times for the Wiener process”, Teor. Veroyatnost. i Primenen., 16:3 (1971), 458–465; Theory Probab. Appl., 16:3 (1971), 449–456
Citation in format AMSBIB
\Bibitem{Nov71}
\by A.~A.~Novikov
\paper On stopping times for the Wiener process
\jour Teor. Veroyatnost. i Primenen.
\yr 1971
\vol 16
\issue 3
\pages 458--465
\mathnet{http://mi.mathnet.ru/tvp2259}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=315798}
\zmath{https://zbmath.org/?q=an:0258.60037}
\transl
\jour Theory Probab. Appl.
\yr 1971
\vol 16
\issue 3
\pages 449--456
\crossref{https://doi.org/10.1137/1116049}
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  • https://www.mathnet.ru/eng/tvp2259
  • https://www.mathnet.ru/eng/tvp/v16/i3/p458
  • This publication is cited in the following 23 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
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