Exact Asymptotics for Boundary Crossing Probabilities of Brownian Motion with piecewise linear trend
Détails
ID Serval
serval:BIB_07B921219B62
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Exact Asymptotics for Boundary Crossing Probabilities of Brownian Motion with piecewise linear trend
Périodique
Electronic Communications in Probability
ISSN
1083-589X
Statut éditorial
Publié
Date de publication
2005
Peer-reviewed
Oui
Volume
10
Pages
207-217
Langue
anglais
Résumé
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].
Mots-clé
Brownian motion with trend, Boundary crossing probability, Large deviations, Exact asymptotics
Web of science
Open Access
Oui
Création de la notice
03/09/2010 11:51
Dernière modification de la notice
20/08/2019 13:30
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