The asymptotic behavior of a Brownian motion with a drift from a random domain

DOI10.1080/03610926.2010.517360zbMATH Open1259.60096OpenAlexW2032080460MaRDI QIDQ2903799FDOQ2903799

Authors: Dawei Lu, Lixin Song 

Publication date: 2 August 2012

Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2010.517360

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zbMATH Keywords

Brownian motionasymptotic behaviorBessel process

Mathematics Subject Classification ID

Large deviations (60F10) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• The first exit time of a Brownian motion from an unbounded convex domain
• ON ESTIMATES AND THE ASYMPTOTIC BEHAVIOR OF NONEXIT PROBABILITIES OF A WIENER PROCESS TO A MOVING BOUNDARY

Cited In (14)

• Asymptotic expansions for a model with distinguished “fast” and “slow” variables, described by a system of singularly perturbed stochastic differential equations
• Étude asymptotique de certains mouvements browniens complexes avec drift
• Some asymptotic formulas for a Brownian motion from the maximum and minimum complicated domains
• The positive occupation time of Brownian motion with two-valued drift and asymptotic dynamics of sliding motion with noise
• Asymptotic behaviour of a Brownian motion on exterior domains
• The last zero-crossing of an iterated brownian motion with drift
• The first exit time of a Brownian motion from the Minimum and maximum parabolic domains
• An asymptotic estimate for Brownian motion with drift
• Coupling for drifted Brownian motion on an interval with redistribution from the boundary
• Some limit results for probabilities estimates of Brownian motion with polynomial drift
• Tail asymptotics for Shepp-statistics of Brownian motion in \(\mathbb{R}^d \)
• Brownian motion on $ \lbrack 0,\infty)$ with linear drift, reflected at zero: exact asymptotics for ergodic means
• Running supremum of Brownian motion in dimension 2: exact and asymptotic results
• Probability Characteristics of Downfalls of Brownian Motion with Drift

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