Remarks on “boundary crossing result for brownian motion”

Bachelier, L.: Théorie de la Spéculation. Gauthiers-Villars, Paris 1900.

Borovkov, A. A.: On the first-passage time for one class of processes with independent increments. Theory Prob. Appl. 10, 331–334 (1965).

Cuzick, J.: Boundary crossing probabilities for stationary Gaussian processes and Brownian motion. Trans. Amer. Math. Soc. 263, 469–492 (1981).

Daniels H. E.: The maximum size of a closed epidemic. Adv. Appl. Prob. 6, 607–621 (1974).

Deelstra, G. andDelbaen, F.: Remarks on the methodology introduced by Goovaerts et al. IME 11(4), 295–300(1992).

Durbin, J.: Boundary-crossing probabilities for the Brownian motion and Poisson processes and techniques for computing the power of the Kolmogorov-Smirnov test. J. Appl. Prob. 8, 431–453 (1971).

Durbin, J.: The first-passage density of a continuous Gaussian process to a general boundary. J. Appl. Prob. 22, 99–122 (1985).

Goovaerts, M. J. andTeunen, M.: Boundary Crossing Result for the Brownian Motion. BlÄtter (1993).

Jennen, C. andLerche, H. R.: First-exit densities of Brownian motion through one-side moving boundaries. Z. Wahrscheinlichkeitstheorie 55, 133–148 (1981).

Keilson, J.: The first-passage density for homogeneous skip-free walks on the continuum. Ann. Math. Statist. 34, 1003–1011 (1963).

Lerche, H. R.: Boundary Crossing of Brownian Motion. Springer-Verlag, Berlin, Heidelberg, New York 1986.

Levy, P.: Processus Stochastiques et Mouvement Brownien. Gauthiers-Villars, Paris 1948.

Revuz, D. andYor, M.: Continuous Martingales and Brownian Motion, Springer-Verlag, Berlin, Heidelberg, New York 1991.

Robbins, H. andSiegmund, D.: Boundary crossing probabilities for the Wiener process and sample sums. Ann. Math. Statist. 41, 1410–1429 (1970).

Scheike, T. H.: A Boundary Crossing Result for the Brownian Motion. Working paper No. 88, University of Copenhagen, 1990, 6 p.