Boundary noncrossings of additive Wiener fields
Details
Download: BIB_CD06405DABD4.P001.pdf (117.69 [Ko])
State: Public
Version: author
State: Public
Version: author
Serval ID
serval:BIB_CD06405DABD4
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Boundary noncrossings of additive Wiener fields
Journal
Lithuanian Mathematical Journal
ISSN
0363-1672 (Print)
1573-8825 (Online)
1573-8825 (Online)
Publication state
Published
Issued date
2014
Peer-reviewed
Oui
Volume
54
Number
3
Pages
277-289
Language
english
Abstract
Let {W (i) (t), t a a"e(+)}, i = 1, 2, be two Wiener processes, and let W (3) = {W (3)(t), t a a"e (+) (2) } be a two-parameter Brownian sheet, all three processes being mutually independent. We derive upper and lower bounds for the boundary noncrossing probability P (f) = P{W (1)(t (1)) + W (2)(t (2)) + W (3)(t) + f(t) a parts per thousand currency sign u(t), t a a"e (+) (2) }, where f, u : a"e (+) (2) -> a"e are two general measurable functions. We further show that, for large trend functions gamma f > 0, asymptotically, as gamma -> a, P (gamma f) is equivalent to , where is the projection of f onto some closed convex set of the reproducing kernel Hilbert space of the field W(t) = W (1)(t (1)) + W (2)(t (2)) + W (3)(t). It turns out that our approach is also applicable for the additive Brownian pillow.
Keywords
Boundary noncrossing probability, Reproducing kernel Hilbert space, Additive Wiener field, Polar cones, Logarithmic asymptotics, Brownian sheet, Brownian pillow
Web of science
Create date
09/07/2014 23:07
Last modification date
20/08/2019 15:47