Asymptotics of first-passage time over a one-sided stochastic boundary

被引：10

作者：

Vondracek, Z ^{[1
]}

机构：

[1] Univ Zagreb, Dept Math, Zagreb 10000, Croatia

来源：

JOURNAL OF THEORETICAL PROBABILITY | 2000年 / 13卷 / 01期

关键词：

first-passage time; stochastic boundary; Brownian motion; Levy process; local time; continuous martingale;

D O I：

10.1023/A:1007747312770

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We study the asymptotic behavior of the first-passage times for Brownian motion, Levy processes and continuous martingales over one-sided increasing stochastic, as Hell as deterministic, boundaries. In particular, we study the first-passage time of a Brownian motion over the increasing function of its local time, give necessary and sufficient conditions for t(-1/2) asymptotics, and obtain exact asymptotics for linear functions.

引用

页码：279 / 309

页数：31

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