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

共 50 条

[31] First-passage time and change of entropy
V. V. Ryazanov
The European Physical Journal B, 2021, 94
[32] On the first-passage times of certain Gaussian processes, and related asymptotics
Abundo, Mario
STOCHASTIC ANALYSIS AND APPLICATIONS, 2021, 39 (04) : 712 - 727
[33] Critical first-passage percolation starting on the boundary
Jiang, Jianping
Yao, Chang-Long
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2019, 129 (06) : 2049 - 2065
[34] First-passage time and change of entropy
Ryazanov, V. V.
EUROPEAN PHYSICAL JOURNAL B, 2021, 94 (12):
[35] Mean first-passage time of multi-dimension stochastic dynamical system
Feng, C-Z
Duan, W-L
INDIAN JOURNAL OF PHYSICS, 2014, 88 (01) : 107 - 110
[36] Joint Distribution of First-Passage Time and First-Passage Area of Certain Lévy Processes
Mario Abundo
Sara Furia
Methodology and Computing in Applied Probability, 2019, 21 : 1283 - 1302
[37] Mean first-passage time of multi-dimension stochastic dynamical system
C-Z Feng
W-L Duan
Indian Journal of Physics, 2014, 88 : 107 - 110
[38] First-passage and risk evaluation under stochastic volatility
Masoliver, Jaume
Perello, Josep
PHYSICAL REVIEW E, 2009, 80 (01):
[39] Mean first-passage time for diffusion on fractal lattices with imposed boundary conditions
Chelminiak, P
Kurzynski, M
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2004, 342 (3-4) : 507 - 515
[40] Mean first-passage time for a stochastic tumor growth model with two different time delaysMean first-passage time for a stochastic tumor growth model with two different time delaysQ Yu et al.
Qin Yu
Yong-Feng Guo
Hao-Yu Chen
Indian Journal of Physics, 2025, 99 (3) : 893 - 905

← 1 2 3 4 5 →