An Asymptotic Result for Non Crossing Probabilities of Brownian Motion with Trend
Details
Serval ID
serval:BIB_28767019139C
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
An Asymptotic Result for Non Crossing Probabilities of Brownian Motion with Trend
Journal
Communications in Statistics - Theory and Methods
ISSN
0361-0926
Publication state
Published
Issued date
2007
Peer-reviewed
Oui
Volume
36
Number
13-16
Pages
2821-2828
Language
english
Abstract
We show an asymptotic expansion (gamma -> infinity) for a non crossing probability
P{for all t is an element of [0, 1] : B(t) + gamma h(t) < u(t)}
with B a Brownian motion, It a trend, and u a boundary function.
P{for all t is an element of [0, 1] : B(t) + gamma h(t) < u(t)}
with B a Brownian motion, It a trend, and u a boundary function.
Keywords
Asymptotic results, Boundary crossing probability, Brownian bridge with trend, Brownian motion with trend, Large deviations
Web of science
Create date
03/09/2010 11:32
Last modification date
20/08/2019 14:07
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