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December, 1971 On the First Passage of the Integrated Wiener Process
Malcolm Goldman
Ann. Math. Statist. 42(6): 2150-2155 (December, 1971). DOI: 10.1214/aoms/1177693084


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.


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Malcolm Goldman. "On the First Passage of the Integrated Wiener Process." Ann. Math. Statist. 42 (6) 2150 - 2155, December, 1971.


Published: December, 1971
First available in Project Euclid: 27 April 2007

zbMATH: 0271.60049
MathSciNet: MR297017
Digital Object Identifier: 10.1214/aoms/1177693084

Rights: Copyright © 1971 Institute of Mathematical Statistics

Vol.42 • No. 6 • December, 1971
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