The distribution of brownian motion on linear stopping boundaries
作者:
W.J. Hall,
期刊:
Sequential Analysis
(Taylor Available online 1997)
卷期:
Volume 16,
issue 4
页码: 345-352
ISSN:0747-4946
年代: 1997
DOI:10.1080/07474949708836392
出版商: Marcel Dekker, Inc.
关键词: Sequential tests;Brownian bridge;Likelihood Ratio Identity;inverse Gaussian distribution
数据来源: Taylor
摘要:
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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