Crossing an asymptotically square-root boundary by the Brownian motion

DOI10.1134/S0081543822010096MaRDI QIDQ2135124zbMATH OpenOpenAlexFDO

Authors Denis E. Denisov, G. Hinrichs, Vitali Wachtel, A. I. Sakhanenko

Publication date 4 May 2022

Published in Proceedings of the Steklov Institute of Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s0081543822010096

zbMATH Keywords

Brownian motionparabolic cylinder functionspacetime harmonic function

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 3381619 (Why is no real title available?)
• A First Passage Problem for the Wiener Process
• A martingale approach in problems on first crossing time of nonlinear boundaries
• Brownian first exit from and sojourn over one sided moving boundary and application
• Evaluation of the first-passage time probability to a square root boundary for the Wiener process
• First hitting time of curvilinear boundary by Wiener process
• First-Passage Times over Moving Boundaries for Asymptotically Stable Walks
• First-passage times for random walks with nonidentically distributed increments
• Location of Wave Fronts for the Multi-Dimensional K-P-P Equation and Brownian First Exit Densities
• Martingales, Tauberian Theorem, and Strategies of Gambling
• ON ESTIMATES AND THE ASYMPTOTIC BEHAVIOR OF NONEXIT PROBABILITIES OF A WIENER PROCESS TO A MOVING BOUNDARY
• On Stopping Times for a Wiener Process

Cited in

(10)

• On the First-Passage Time of a Diffusion Process Over a One-Sided Stochastic Boundary
• Asymptotics of first-passage time over a one-sided stochastic boundary
• Asymptotic behavior of the mean square displacement of the Brownian parametric oscillator near the singular point
• Brownian motion hitting probabilities for general two-sided square-root boundaries
• The Kolmogorov Inequality for the Maximum of the Sum of Random Variables and Its Martingale Analogues
• On the Brownian first-passage time over a one-sided stochastic boundary
• Capacity estimates, boundary crossings and the Ornstein-Uhlenbeck process in Wiener space
• Asymptotic results for the last zero crossing time of a Brownian motion with non-null drift
• An integral equation for Root's barrier and the generation of Brownian increments
• scientific article; zbMATH DE number 3909480 (Why is no real title available?)

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