Zaevski, Tsvetelin Laplace transforms of the Brownian motion’s first exit from a strip. (English) Zbl 1488.60194 C. R. Acad. Bulg. Sci. 74, No. 5, 669-676 (2021). The author investigates the first exit time of a Brownian motion from a strip. Laplace transform is presented of the exit time. The strip boundaries are assumed to be continuous piecewise linear functions and the existence of deterministic terminal moment is supposed. Both cases – when the exit happens before and after the terminal date – are considered. The results obtained in the paper can be implemented in various numerical methods and algorithms. Reviewer: Angela Slavova (Sofia) MSC: 60J65 Brownian motion 44A10 Laplace transform 60G40 Stopping times; optimal stopping problems; gambling theory Keywords:Brownian motion; stopping times; first exit; two sided boundaries; Laplace transform PDFBibTeX XMLCite \textit{T. Zaevski}, C. R. Acad. Bulg. Sci. 74, No. 5, 669--676 (2021; Zbl 1488.60194) Full Text: DOI