Some Asymptotic Formulas for a Brownian Motion With a Regular Variation From a Parabolic Domain

DOI10.1080/03610926.2012.762397MaRDI QIDQ5265865zbMATH OpenOpenAlexFDO

Authors Dawei Lu, Lixin Song

Publication date 29 July 2015

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

Full work available at URL https://doi.org/10.1080/03610926.2012.762397

zbMATH Keywords

Brownian motionregular variationfirst exit timeBessel processparabolic domain

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• ON ESTIMATES AND THE ASYMPTOTIC BEHAVIOR OF NONEXIT PROBABILITIES OF A WIENER PROCESS TO A MOVING BOUNDARY
• Small ball estimates for Brownian motion and the Brownian sheet
• Some exact equivalents for Brownian motion in Hölder norm
• The first exit time of a Brownian motion from an unbounded convex domain

Cited in

(7)

• Some asymptotic formulas for a Brownian motion from the maximum and minimum domains with regular varying boundary
• The asymptotic behavior of a Brownian motion with a drift from a random domain
• Brownian motion in self-similar domains
• The exit probabilities of Brownian motion with variable dimension applying to the control of population growth
• Some asymptotic formulas of a Brownian motion with regular variation from the maximum and minimum complicated domains
• The first exit time of a Brownian motion from an unbounded convex domain
• The first exit time of Brownian motion form a parabolic domain

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