Research Reports from the Department of Operations
Document Type
Report
Publication Date
6-1-1975
Abstract
This report presents an alternative derivation for the transient distribution of Brownian Motion Processes on [0,∞) with drift and a reflecting boundary at zero. The result is applied to determine the joint distributions of the maximum and minimum values of the process X_H over specified intervals. The Brownian Motion Process is also examined on (−∞,∞) with drift but without boundaries. The findings extend known results to cases with drift, offering broader insights into the behavior of Brownian motion processes under these conditions.
Keywords
Operations research, Stochastic processes, Brownian motion processes, Boundary value problems
Publication Title
Technical Memorandums from the Department of Operations, School of Management, Case Western Reserve University
Issue
Technical memorandum no. 361
Rights
This work is in the public domain and may be freely downloaded for personal or academic use
Recommended Citation
Ott, Teunis J., "Transient Distributions of Some Processes Related to the Wiener Process with Drift" (1975). Research Reports from the Department of Operations. 612.
https://commons.case.edu/wsom-ops-reports/612