Asymptotic estimates for the first hitting time of fluctuating additive functionals of Brownian motion (Q4501623)

A two-dimensional diffusion process \((X(t), Y(t))\) of a particular form with initial value \((x,y)\) is introduced. The authors investigate the asymptotic behavior of an exponential function of the first hitting time of the positive \(y\)-axis \(T\). Applying this result, they estimate the probability of \(\max_{0 \leq s \leq t} X(s) < |C|\) as \(|C|^{\nu\rho} t^{-\rho/2}\) tends to \(0\) for the case where the initial value \((x,y)\) equals \((0,0)\) and the constants \(\nu, \rho\) lie in the interval \((0,1)\). For the entire collection see [Zbl 0940.00007].