The distribution of brownian motion on linear stopping boundaries |
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Authors: | W.J. Hall |
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Affiliation: | Department of Statistics , University of Rochester , Rochester, 14627, New York E-mail: hall@bst.rochester.edu |
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Abstract: | We consider Brownian motion with drift and stopping boundaries: linear upper and lower boundaries, and possibly a vertical boundary at a truncation point, all under conditions assuring a finite stopping time. T. W. Anderson (Ann. Math. Statist. 31, 1960) derived formulas for the distributions of the stopped process along these boundaries and for the associated expected stopping times. We present simpler formulas, and briefer derivations. |
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Keywords: | Sequential tests Brownian bridge Likelihood Ratio Identity inverse Gaussian distribution |
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