2022
DOI: 10.1016/j.spa.2022.01.007
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Brownian motion conditioned to spend limited time below a barrier

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“…1 ) Then The conditional probability in ( 4.6 ) is known (Pechtl 1999 , 2020 ). A more convenient formula is given in Aurzada and Schickentanz ( 2022 ), see Eq. (7) therein.…”
Section: Brownian Bridge Estimatesmentioning
confidence: 99%
“…1 ) Then The conditional probability in ( 4.6 ) is known (Pechtl 1999 , 2020 ). A more convenient formula is given in Aurzada and Schickentanz ( 2022 ), see Eq. (7) therein.…”
Section: Brownian Bridge Estimatesmentioning
confidence: 99%
“…The conditional probability in (4.6) is known [19,18]. A more convenient formula is given in [2], see Eq. ( 7) therein.…”
Section: Brownian Bridge Estimatesmentioning
confidence: 99%