Non-explicit formula of boundary crossing probabilities by the Girsanov theorem

This paper derives several formulae for the probability that a Wiener process, which has a stochastic drift and random variance, crosses a one-sided stochastic boundary within a finite time interval. A non-explicit formula is first obtained by the Girsanov theorem when considering an equivalent prob...

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Veröffentlicht in:	arXiv.org 2024-10
1. Verfasser:	Potiron, Yoann
Format:	Artikel
Sprache:	eng
Schlagworte:	Drift Probability theory Random variables Theorems
Online-Zugang:	Volltext
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