The Wiener process with drift between a linear retaining and an absorbing barrier |
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| Authors: | Hans U Gerber Marc Goovaerts Nelson DePril |
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| Institution: | 1. University of Michigan, Department of Mathematics, Ann Arbor, MI. 48109, U.S.A.;7. Katholieke Universiteit Leuven, Instituut voor Actuariële Wetenschappen, Dekenstraat 2, B-3000 Leuven, Belgium |
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| Abstract: | The Wiener process with constant drift is modified by a time-dependent retaining barrier that increases at a constant rate and by an absorbing barrier at zero. Explicit expressions in terms of series expansions are derived for the Laplace transform and the probability density function of the time of absorption. |
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