Upper and lower limits of doubly perturbed Brownian motion

被引：17
|
作者：
Chaumont, L
Doney, RA
Hu, Y
机构：
[1] Univ Paris 06, Lab Probabilites & Modeles Aleatoires, CNRS, UMR 7599, F-75252 Paris 05, France
[2] Univ Manchester, Dept Math, Manchester M13 9PL, Lancs, England
来源：
ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES | 2000年 / 36卷 / 02期
关键词：
doubly perturbed Brownian motion; upper and lower limits; passage time; exit time; law of iterated logarithm;
D O I：
10.1016/S0246-0203(00)00123-0
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：
A doubly perturbed Brownian motion (DPBM) behaves as a Brownian motion between its minimum and maximum, and is perturbed at its extrema. We study here how these perturbations influence the asymptotic behaviours of the extrema by characterizing all upper and lower limits of DPBM for permissible perturbation parameters. (C) 2000 Editions scientifiques et medicales Elsevier SAS.
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页码：219 / 249
页数：31
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