A Stopped Brownian Motion Formula with Two Sloping Line Boundaries

L. Barba Escriba

doi:10.1214/aop/1176991991

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Home > Journals > Ann. Probab. > Volume 15 > Issue 4 > Article

October, 1987 A Stopped Brownian Motion Formula with Two Sloping Line Boundaries

L. Barba Escriba

Ann. Probab. 15(4): 1524-1526 (October, 1987). DOI: 10.1214/aop/1176991991

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Abstract

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.

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L. Barba Escriba. "A Stopped Brownian Motion Formula with Two Sloping Line Boundaries." Ann. Probab. 15 (4) 1524 - 1526, October, 1987. https://doi.org/10.1214/aop/1176991991

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Published: October, 1987

First available in Project Euclid: 19 April 2007

zbMATH: 0636.60082

MathSciNet: MR905346

Digital Object Identifier: 10.1214/aop/1176991991

Subjects:

Primary: 60G40

Secondary: 60J65

Keywords: Brownian motion , martingale , moment generating function , stopping time

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Ann. Probab.

Vol.15 • No. 4 • October, 1987

Institute of Mathematical Statistics

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L. Barba Escriba "A Stopped Brownian Motion Formula with Two Sloping Line Boundaries," The Annals of Probability, Ann. Probab. 15(4), 1524-1526, (October, 1987)

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