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

DOI10.1080/03610926.2012.762397zbMATH Open1320.60139OpenAlexW2050683353MaRDI QIDQ5265865FDOQ5265865

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

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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)

Cites Work

• 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
• Some exact equivalents for Brownian motion in Hölder norm
• Small ball estimates for Brownian motion and the Brownian sheet

Cited In (3)

• Brownian motion in self-similar 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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