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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

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.

Citation

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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

Information

Published: October, 1987
First available in Project Euclid: 19 April 2007

MathSciNet: MR905346
zbMATH: 0636.60082
Digital Object Identifier: 10.1214/aop/1176991991

Subjects:
Primary: 60G40
Secondary: 60J65

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

Rights: Copyright © 1987 Institute of Mathematical Statistics

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Vol.15 • No. 4 • October, 1987
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