Crossing an asymptotically square-root boundary by the Brownian motion (Q2135124)

The aim of the paper is to study asymptotic properties of the stopping time \(T_g :=\inf\{t\geq 0 : B_t = g(t)\},\) where g(t) is some continuous function and \(B_t\) is a standard Brownian motion. The problem is to determine the tail behaviour of \(T_g\) for any boundary function \(g\) satisfying \(g(0) < 0\) and \(g(t)/ \sqrt{t}\to c\) as \(t\to+\infty\) for some constant \(c\in R.\) The main result determines the tail behaviour \(P(T_g>t)\) of such first-passage time, and thus this generalizes the well-known results obtained by \textit{A. A. Novikov} [Theory Probab. Appl. 16, 449--456 (1971; Zbl 0258.60037); translation from Teor. Veroyatn. Primen. 16, 458--465 (1971); Math. USSR, Sb. 38, 495--505 (1981; Zbl 0462.60079); Proc. Steklov Inst. Math. 158, 141--163 (1983; Zbl 0524.60051)] and \textit{K. Uchiyama} [Z. Wahrscheinlichkeitstheor. Verw. Geb. 54, 75--116 (1980; Zbl 0431.60080)].