Asymptotic estimates for the first hitting time of fluctuating additive functionals of Brownian motion
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].
- Hitting law asymptotics for a fluctuating Brownian functional
- Asymptotic approximations for Brownian motion boundary hitting times
- Asymptotic properties of additive functionals of Brownian motion
- On the expectation of normalized Brownian functionals up to first hitting times
- First exit time from a bounded interval for a certain class of additive functionals of Brownian motion
- Some new results about asymptotic properties of additive functionals of Brownian motion
- Asymptotic estimates for the distribution of additive functionals of Brownian motion by the Wiener-Hopf factorization method
- The randomized first-hitting problem of continuously time-changed Brownian motion
- An asymptotic formula for the Kolmogorov diffusion and a refinement of Sinai's estimates for the integral of Brownian motion
- Survival exponents for some Gaussian processes
- Persistence and exit times for some additive functionals of skew Bessel processes
- On the expectation of normalized Brownian functionals up to first hitting times
- Some limiting laws associated with the integrated Brownian motion
- Persistence probabilities and exponents
- Concentration of first hitting times under additive drift
- Hitting of a line or a half-line in the plane by two-dimensional symmetric stable Lévy processes
- An application of Sparre Andersen's fluctuation theorem for exchangeable and sign-invariant random variables
- Some topics in random walks
- Hitting law asymptotics for a fluctuating Brownian functional
- An asymptotic estimate for the hitting time of a half-line by two-dimensional Brownian motion
- Chung's law for homogeneous Brownian functionals
This page was built for publication: Asymptotic estimates for the first hitting time of fluctuating additive functionals of Brownian motion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4501623)
