首页 | 本学科首页   官方微博 | 高级检索  
     


The distribution of brownian motion on linear stopping boundaries
Authors:W.J. Hall
Affiliation:Department of Statistics , University of Rochester , Rochester, 14627, New York E-mail: hall@bst.rochester.edu
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.
Keywords:Sequential tests  Brownian bridge  Likelihood Ratio Identity  inverse Gaussian distribution
设为首页 | 免责声明 | 关于勤云 | 加入收藏

Copyright©北京勤云科技发展有限公司  京ICP备09084417号