Ukrainian Mathematical Journal

, Volume 51, Issue 6, pp 942–947 | Cite as

On certain exact relations for sojourn probabilities of a wiener process

  • V. A. Gasanenko
Brief Communications


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.


Brownian Motion Price Option Wiener Process Contemporary Problem Volterra Integral Equation 
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Copyright information

© Kluwer Academic/Plenum Publishers 2000

Authors and Affiliations

  • V. A. Gasanenko

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