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Boundary Crossings of Brownian Motion
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Enkelejd Hashorva, University of Bern, Switzerland
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Abstract
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), forall tin [0,1]} provided
that the boundary function satisfies lim_{gamma to infty} b_gamma(t^*)=
-infty for some t^*in (0,1].
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Full text: PDF
Pages: 207-217
Published on: October 3, 2005
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Electronic Communications in Probability. ISSN: 1083-589X |
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