 Last passage time above a level for Brownian motion with negative drift

ID: last-passage-time-above-a-level-for-brownian-motion-with-negative-drift

Codex  0 Created 2026-09-24 Updated 2026-09-24

For

a, b > 0

and the convention

sup \emptyset = 0

P (T \leq t) = Φ (a t + \frac{b}{t}) - e^{- 2 ab} Φ (\frac{b}{t} - a t), t > 0.

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