Multivariate normal integrals for highly correlated samples from a wiener process

X, = X1 + 6V(Y+ + + Yn0_), where X, is normal, E(X1)= 0, D2(X1)= t > 0, and the variables Y,..., Y, are standardized normal variables, independent of each other and also of X,. Clearly X1, ---, X, are multivariate normal, with E(Xt) = 0 for all i, and E(XXJ) = t + (i 1)6, 1 < i < j n. The correlation coefficient between Xj and Xi is St + (i 1)6]1 (2) Pii= t+(j-1) , Iigj n. For the special case in which the threshold level a corresponds to the mean level (zero), the multivariate normal integral is independent of the variances