Taylor expansions of curve-crossing probabilities (Q1962753): Difference between revisions

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Latest revision as of 19:49, 19 March 2024

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Taylor expansions of curve-crossing probabilities
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    Taylor expansions of curve-crossing probabilities (English)
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    31 January 2000
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    A Taylor expansion is obtained for the probability that a Brownian motion hits a smooth nonlinear boundary of the type \(a+\beta t+\varepsilon c(t)\) for small \(\varepsilon> 0\). The proof is based on the Cameron-Martin-Girsanov formula. A probabilistic interpretation of the expansion is given.
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    Brownian motion
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    Cameron-Martin-Girsanov theorem
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    curve-crossing probabilities
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    harmonic functions
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