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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
DOI: 10.2307/3213127
Stable URL: http://www.jstor.org/stable/3213127
Page Count: 4
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
One-Sided Excursions of Brownian Motion, and an Application
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Abstract

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.

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