An Asymptotic Result for Non Crossing Probabilities of Brownian Motion with Trend
Détails
ID Serval
serval:BIB_28767019139C
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
An Asymptotic Result for Non Crossing Probabilities of Brownian Motion with Trend
Périodique
Communications in Statistics - Theory and Methods
ISSN
0361-0926
Statut éditorial
Publié
Date de publication
2007
Peer-reviewed
Oui
Volume
36
Numéro
13-16
Pages
2821-2828
Langue
anglais
Résumé
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.
Mots-clé
Asymptotic results, Boundary crossing probability, Brownian bridge with trend, Brownian motion with trend, Large deviations
Web of science
Création de la notice
03/09/2010 11:32
Dernière modification de la notice
20/08/2019 14:07
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