A lower bound for boundary crossing probabilities of Brownian bridge/motion with trend

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Serval ID
serval:BIB_BE8DB3D5E2BD
Type
Article: article from journal or magazin.
Collection
Publications
Title
A lower bound for boundary crossing probabilities of Brownian bridge/motion with trend
Journal
Statistics & Probability Letters
Author(s)
Bischoff W., Hashorva E.
ISSN
0167-7152
Publication state
Published
Issued date
2005
Peer-reviewed
Oui
Volume
74
Number
3
Pages
265-271
Language
english
Abstract
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.
Keywords
Boundary crossing probability, Brownian bridge with trend, Brownian motion with trend, Signal-plus-noise model, Cameron-Martin-Girsanov formula
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03/09/2010 11:54
Last modification date
20/08/2019 16:32
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