A lower bound for boundary crossing probabilities of Brownian bridge/motion with trend
Détails
ID Serval
serval:BIB_BE8DB3D5E2BD
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
A lower bound for boundary crossing probabilities of Brownian bridge/motion with trend
Périodique
Statistics & Probability Letters
ISSN
0167-7152
Statut éditorial
Publié
Date de publication
2005
Peer-reviewed
Oui
Volume
74
Numéro
3
Pages
265-271
Langue
anglais
Résumé
We show a lower bound for the boundary crossing probability P{there exists z is an element of [0, 1] : h(z) + B-0(z) > u(z)} with B-0 a Brownian bridge, h a trend function and u a boundary function. By that we get also a lower bound for the boundary crossing probability P{there exists z is an element of [0, 1] : h(z) + B-0(z) < u(z)}. It turns out that the bound improves the asymptotic result given in Bischoff et al. [2003a. Methodology Comput. Appl. Probab. 5 (3), 271-287] when considering a trend function gamma h, gamma -> infinity. The usual tools to obtain boundary crossing probabilities are finite dimensional approximations of the above probability. In this paper, however, we use the Cameron-Martin-Girsanov formula to obtain a bound of the above probability.
Mots-clé
Boundary crossing probability, Brownian bridge with trend, Brownian motion with trend, Signal-plus-noise model, Cameron-Martin-Girsanov formula
Web of science
Création de la notice
03/09/2010 10:54
Dernière modification de la notice
20/08/2019 15:32