An Evaluation for the Probability Density of the First Hitting Time

Affiliation(s)

Department of Mathematics, National Cheng-Kung University, Tainan, Chinese Taipei.

Department of Finance, National Dong Hwa University, Hualien County, Chinese Taipei.

Department of Mathematics, National Cheng-Kung University, Tainan, Chinese Taipei.

Department of Finance, National Dong Hwa University, Hualien County, Chinese Taipei.

Abstract

Let *h(t)* be a smooth function, *B _{t }*a standard Brownian motion and

Cite this paper

S. Shen and Y. Hsiao, "An Evaluation for the Probability Density of the First Hitting Time,"*Applied Mathematics*, Vol. 4 No. 5, 2013, pp. 792-796. doi: 10.4236/am.2013.45108.

S. Shen and Y. Hsiao, "An Evaluation for the Probability Density of the First Hitting Time,"

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