First exit of Brownian motion from a one-sided moving boundary
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Publication:6231769
arXiv1203.4691MaRDI QIDQ6231769FDOQ6231769
Authors: Frank Aurzada, Tanja Kramm 
Publication date: 21 March 2012
Abstract: We revisit a result of Uchiyama (1980): given that a certain integral test is satisfied, the rate of the probability that Brownian motion remains below the moving boundary is asymptotically the same as for the constant boundary. The integral test for is also necessary in some sense. After Uchiyama's result, a number of different proofs appeared simplifying the original arguments, which strongly rely on some known identities for Brownian motion. In particular, Novikov (1996) gives an elementary proof in the case of an increasing boundary. Here, we provide an elementary, half-page proof for the case of a decreasing boundary. Further, we identify that the integral test is related to a repulsion effect of the three-dimensional Bessel process. Our proof gives some hope to be generalized to other processes such as FBM.
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