Computation of the Survival Probability of Brownian Motion with Drift Subject to an Intermittent Step Barrier

This article provides an exact formula for the survival probability of Brownian motion with drift when the absorbing boundary is defined as an intermittent step barrier, i.e., an alternate sequence of time intervals when the boundary is piecewise constant, and time intervals without any defined boun...

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Bibliographic Details

Published in:	AppliedMath Vol. 4; no. 3; pp. 1080 - 1097
Main Author:	Guillaume, Tristan
Format:	Journal Article
Language:	English
Published:	MDPI AG 01.09.2024
Subjects:	boundary crossing Brownian motion first-passage time intermittent barrier step barrier survival probability
ISSN:	2673-9909, 2673-9909
Online Access:	Get full text
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