The first exit time of a Brownian motion from the Minimum and maximum parabolic domains

DOI10.1007/s10959-010-0306-7zbMath1235.60113OpenAlexW2002467940MaRDI QIDQ662882

Lixin Song, Dawei Lu

Publication date: 13 February 2012

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10959-010-0306-7

zbMATH Keywords

Bessel processBrownian motionfirst exit timeGordon's inequalitymaximum parabolic domainminimum parabolic domain

Mathematics Subject Classification ID

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

Related Items (5)

THE EXIT PROBABILITIES OF BROWNIAN MOTION WITH VARIABLE DIMENSION APPLYING TO THE CONTROL OF POPULATION GROWTH ⋮ The first exit time of fractional Brownian motion from the minimum and maximum parabolic domains ⋮ On the distribution of first exit time for Brownian motion with double linear time-dependent barriers ⋮ Some new normal comparison inequalities related to Gordon's inequality ⋮ Some asymptotic formulas of a Brownian motion with regular variation from the maximum and minimum complicated domains

Cites Work

• A note on multivariate Gaussian estimates
• Some inequalities for Gaussian processes and applications
• The first exit time of a Brownian motion from an unbounded convex domain
• The first exit time of Brownian motion form a parabolic domain
• Small ball estimates for Brownian motion under a weighted sup-norm
• The Asymptotic Behavior of a Brownian Motion with a Drift from a Random Domain
• ON ESTIMATES AND THE ASYMPTOTIC BEHAVIOR OF NONEXIT PROBABILITIES OF A WIENER PROCESS TO A MOVING BOUNDARY
• Convex Analysis
• First Passage times and Sojourn Times for Brownian Motion in Space and the Exact Hausdorff Measure of the Sample Path

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