On certain exact relations for sojourn probabilities of a wiener process
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New exact relations are proved for the sojourn probability of a Wiener process between two time-de-pendent boundaries. The proof is based on the investigation of the heat-conduction equation in the domain determined by these functions-boundaries. The relations are given in the form of series.
KeywordsBrownian Motion Price Option Wiener Process Contemporary Problem Volterra Integral Equation
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