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Boundary Crossings of Brownian Motion


 
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1. Title Title of document Boundary Crossings of Brownian Motion
 
2. Creator Author's name, affiliation, country Enkelejd Hashorva; University of Bern, Switzerland
 
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4. Description 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 t\in [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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7. Date (YYYY-MM-DD) 2005-10-03
 
8. Type Status & genre Peer-reviewed Article
 
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9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/1155
 
10. Identifier Digital Object Identifier 10.1214/ECP.v10-1155
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 10
 
12. Language English=en
 
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