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
收藏
页码：279 / 309
页数：31
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