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