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.
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页码：105 / 120
页数：16
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