Asymptotics of first-passage time over a one-sided stochastic boundary (Q5918057): Difference between revisions

The paper complements the results on the asymptotics of the first-passage times for Brownian motion over certain stochastic boundaries obtained by \textit{G. Peškir} and \textit{A. N. Shiryaev} [Theory Probab. Appl. 42, No. 3, 444-453 (1997) and Teor. Veroyatn. Primen. 42, No. 3, 591-602 (1997; Zbl 0924.60069)]. First, the first-passage time of a Lévy process satisfying Spitzer's condition over a decreasing stochastic boundary is studied. The method is different from that used by Peškir and Shiryaev and gives an alternative proof of their results for the case of Brownian motion. Second, the first-passage time of a Brownian motion over an increasing function of its local time is studied. Necessary and sufficient conditions for \(t^{-1/2}\) asymptotics are given and an exact asymptotics is obtained for linear functions. Finally, first-passage times for continuous martingales are discussed.