1. Remarks on 'boundary crossing result for brownian motion'
- Author
-
Griselda Deelstra
- Subjects
Geometric Brownian motion ,Fractional Brownian motion ,Diffusion process ,Reflected Brownian motion ,Applied Mathematics ,Accounting ,Mathematical analysis ,Boundary (topology) ,Brownian excursion ,Statistics, Probability and Uncertainty ,Heavy traffic approximation ,Martingale representation theorem ,Mathematics - Abstract
In Scheike (1990) a general boundary crossing result for the Brownian motion is obtained. Using path integrals, M. Teunen and M. Goovaerts obtained this result and some generalisations by the methodology of Kac. A Brownian motion process for the surplus of an insurance portfolio is considered which may not cross a given upper boundary. This boundary can be a piecewise linear one consisting of one or more lines.
- Published
- 1994
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