Brownian Motion Stopping Times First Exit Two Sided Boundaries Laplace Transform
Issue Date:
28-Mar-2021
Publisher:
"Prof. Marin Drinov" Publishing House of Bulgarian Academy of Sciences
Citation:
Zaevski, T. S. Laplace Transforms of the Brownian Motion’s Fists Exit from a Strip. Comptes rendus de l’Académie bulgare des Science, 74, 5, "Prof. Marin Drinov" Publishing House of Bulgarian Academy of Sciences, 2021, DOI:0.7546/CRABS.2021.05.0, 669-676.
Series/Report no.:
Comptes rendus de l’Académie bulgare des Science;74(5)
Abstract:
The aim of this paper is to investigate the Laplace transforms related to the first exit time from a strip of a Brownian motion. We suppose the existence of a deterministic terminal moment. If the exit time is before this moment, we know the corresponding value of the Brownian motion and hence we have to derive the Laplace transform of the exit time. Otherwise, if the Brownian motion stays in the strip till the terminal date, we determine the Brownian motion Laplace transform at this moment.
