论文信息 - ON THE FIRST PASSAGE OF THE INTEGRATED WIENER PROCESS

ON THE FIRST PASSAGE OF THE INTEGRATED WIENER PROCESS

The rate of first passage of the integrated Wiener process to x > 0 is determined in terms of the "'-winding time" distribution of H. P. McKean, Jr. The probability that the integrated Wiener process is currently at its maximum is approximated.

M. Goldman

[1] M. Kac. Probability Theory: Its Role and Its Impact , 1962 .

[2] H. McKean. A winding problem for a resonator driven by a white noise , 1962 .

[3] E. Wong. Some Results Concerning the Zero-Crossings of Gaussian Noise , 1966 .