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November, 1982 First Hitting Time of Curvilinear Boundary by Wiener Process
M. I. Taksar
Ann. Probab. 10(4): 1029-1031 (November, 1982). DOI: 10.1214/aop/1176993723


A function $f(t)$ such that $f(t) / \sqrt{t+1} \uparrow a$ is considered. We define $T = \inf \{t: |W(t)| = f(t)\}$, where $W(t)$ is the Wiener process starting from 0. A sufficient condition for $E\{T^\mu\}$ to be finite is given.


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M. I. Taksar. "First Hitting Time of Curvilinear Boundary by Wiener Process." Ann. Probab. 10 (4) 1029 - 1031, November, 1982.


Published: November, 1982
First available in Project Euclid: 19 April 2007

zbMATH: 0502.60063
MathSciNet: MR672302
Digital Object Identifier: 10.1214/aop/1176993723

Primary: 60J65

Keywords: exit times , square root boundary , Wiener process

Rights: Copyright © 1982 Institute of Mathematical Statistics

Vol.10 • No. 4 • November, 1982
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