The distribution of brownian motion on linear stopping boundaries
- 1 January 1997
- journal article
- research article
- Published by Taylor & Francis Ltd in Sequential Analysis
- Vol. 16 (4), 345-352
- https://doi.org/10.1080/07474949708836392
Abstract
We consider Brownian motion with drift and stopping boundaries: linear upper and lower boundaries, and possibly a vertical boundary at a truncation point, all under conditions assuring a finite stopping time. T. W. Anderson (Ann. Math. Statist. 31, 1960) derived formulas for the distributions of the stopped process along these boundaries and for the associated expected stopping times. We present simpler formulas, and briefer derivations.Keywords
This publication has 1 reference indexed in Scilit:
- A Modification of the Sequential Probability Ratio Test to Reduce the Sample SizeThe Annals of Mathematical Statistics, 1960