On the First Passage Time Density of a Continuous Martingale over a Moving Boundary

  • GERARDO HERNANDEZ-DEL-VALLE
  • Published 2008

Abstract

In this paper we derive the density φ of the first time T that a continuous martingale M with non-random quadratic variation 〈M〉· := R · 0 h 2(u)du hits a moving boundary f which is twice continuously differentiable, and f ′/h ∈ C2[0,∞). Thus, this work is an extension to case in which M is in fact a onedimensional standard Brownian motion B, as studied in Hernandez-del-Valle (2007).

Cite this paper

@inproceedings{HERNANDEZDELVALLE2008OnTF, title={On the First Passage Time Density of a Continuous Martingale over a Moving Boundary}, author={GERARDO HERNANDEZ-DEL-VALLE}, year={2008} }