Analytic crossing probabilities for certain barriers by Brownian motion
نویسنده
چکیده
We calculate crossing probabilities and one-sided last exit time densities for a class of moving barriers on an interval [0, T ] via Schwartz distributions. We derive crossing probabilities and first hitting time densities for another class of barriers on [0, T ] by proving a Schwartz distribution version of the method of images. Analytic expressions for crossing probabilities and related densities are given for new explicit and semi-explicit barriers.
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