The Absorption Time of a Brownian Motion under One-Sided Controling
by Zierke, E.
Preprint series: 98-25, Preprints
Abstract: A Brownian motion with positive drift moves between two barriers. If it reaches the lower barrier, it is immediately reset to a certain fixed level. The upper barrier is absorbing. This paper gives an exact formula of the absorption time of this Brownian motion. In a special case the result is extended to small negative drifts.
Keywords: Absorbing Barrier, Absorption Time, Brownian Motion
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