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  • First passage time of skew Brownian motion

    Creator:
    Appuhamillage, Thilanka and Sheldon, Daniel
    Abstract:
    Nearly fifty years after the introduction of skew Brownian motion by Itô and McKean (1963), the first passage time distribution remains unknown. In this paper, we first generalize results of Pitman and Yor (2001) and Csáki and Hu (2004) to derive formulae for the distribution of ranked excursion heights of...
    Resource Type:
    Article
    Full Text:
    Applied Probability Trust (21 March 2012) FIRST PASSAGE

  • On the joint behavior of types of coupons in generalized coupon collection

    Creator:
    Mahmoud, Hosam M. and Smythe, Robert T.
    Abstract:
    The "coupon collection problem" refers to a class of occupancy problems, in which j identical items are distributed, independently and at random, to n cells, with no restrictions on multiple occupancy. Identifying the cells as coupons, a coupon is "collected" if the cell is occupied by one or more of...
    Resource Type:
    Article
    Full Text:
    sample sizes. Methodology and Comput- ing in Applied Probability , 9, 573–584. [4] Kolchin, V