Exact Asymptotics for Boundary Crossing Probabilities of Brownian Motion with piecewise linear trend

Details

Request a copyRequest a copy
Serval ID
serval:BIB_07B921219B62
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Production externe
Title
Exact Asymptotics for Boundary Crossing Probabilities of Brownian Motion with piecewise linear trend
Journal
Electronic Communications in Probability
Author(s)
Hashorva E.
ISSN
1083-589X
Publication state
Published
Issued date
2005
Peer-reviewed
Oui
Volume
10
Pages
207-217
Language
english
Abstract
Let B be a standard Brownian motion and let b(gamma) be a piecewise linear continuous boundary function. In this paper we obtain an exact asymptotic expansion of P{B(t)<b(gamma)(t),for all t is an element of [0, 1]} provided that the boundary function satisfies lim(gamma-infinity) b(gamma)(t*)=-infinity for some t* is an element of (0, 1].
Keywords
Brownian motion with trend, Boundary crossing probability, Large deviations, Exact asymptotics
DOI
10.1214/ECP.v10-1155
Web of science
000232351900001
Open Access
Yes
Create date
03/09/2010 10:51
Last modification date
20/08/2019 12:30
Usage data