Multidimensional hitting time results for Brownian bridges with moving hyperplanar boundaries
Atkinson, Michael P.
Singham, Dashi I.
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We calculate several hitting time probabilities for a correlated multidimensional Brownian bridge process, where the boundaries are hyperplanes that move linearly with time. We compute the probability that a Brownian bridge will cross a moving hyperplane if the end- points of the bridge lie on the same side of the hyperplane at the starting and ending times, and we derive the distribution of the hitting time if the endpoints lie on opposite sides of the moving hyperplane. Our third result calculates the probability that this process remains between two parallel hyperplanes, and we extend this result in the independent case to a hyperrectangle with moving faces. To derive these quantities, we rotate the coordinate axes to transform the problem into a one-dimensional calculation.
The article of record may be found at: http://dx.doi.org/10.1016/j.spl.2015.02.006
RightsThis publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.
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