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One-Sided Excursions of Brownian Motion, and an Application
J. P. Imhof
Journal of Applied Probability
Vol. 15, No. 3 (Sep., 1978), pp. 635-638
Published by: Applied Probability Trust
Stable URL: http://www.jstor.org/stable/3213127
Page Count: 4
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The value of a process on C[0, ∞] when it starts its first one-sided excursion of width ≧ α is related to first hitting one of two boundaries. Explicit results for brownian motion are applied to a finite dam model.
Journal of Applied Probability © 1978 Applied Probability Trust