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Alternative way to Solve Barrier Ending Density-Convolution?

Joined
6/11/10
Messages
189
Points
28
The reflection principle is a fine tool to solve barrier ending density as

The distribution for a simple Brownian Motion ending value WT given a single barrier b was hit during (0,T] is

N(x-b,sqrt(T))

I doubt if there are two other ways to solve this problem:

reach (b,b+db) at some time t, and then arrive at (x,x+dx) at time T, integrate the two integrals with respect to t

hit b within some time interval (t,t+dt), and then arrive at (x,x+dx) at time T

Can anyone solve the convolution integral and prove the results are the same?

(y)
 
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