Crossing an Asymptotically Square-Root Boundary by the Brownian Motion

被引：1

作者：

Denisov, Denis E. ^{[1
]}

Hinrichs, Guenter ^{[2
]}

Sakhanenko, Alexander, I ^{[3
]}

Wachtel, Vitali, I ^{[2
]}

机构：

[1] Univ Manchester, Dept Math, Oxford Rd, Manchester M13 9PL, Lancs, England

[2] Univ Augsburg, Inst Math, D-86135 Augsburg, Germany

[3] Russian Acad Sci, Siberian Branch, Sobolev Inst Math, Pr Akad Koptyuga 4, Novosibirsk 630090, Russia

来源：

PROCEEDINGS OF THE STEKLOV INSTITUTE OF MATHEMATICS | 2022年 / 316卷 / 01期

基金：

俄罗斯基础研究基金会;

关键词：

1ST-PASSAGE TIMES; 1ST EXIT; WIENER;

D O I：

10.1134/S0081543822010096

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We consider first-passage times of the standard Brownian motion over boundaries of order c root t. Our main result determines the tail behaviour of such first-passage times. This generalizes the well-known results obtained by Novikov and Uchiyama.

引用

页码：105 / 120

页数：16

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