Boundary non-crossings of Brownian pillow

DOI10.1007/S10959-008-0191-5zbMATH Open1197.60082arXiv0809.4560OpenAlexW3102482336MaRDI QIDQ966499FDOQ966499

Authors: Enkelejd Hashorva 

Publication date: 23 April 2010

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

Abstract: Let B_0(s,t) be a Brownian pillow with continuous sample paths, and let h,u:[0,1]^2 o R be two measurable functions. In this paper we derive upper and lower bounds for the boundary non-crossing probability psi(u;h):=P{B_0(s,t)+h(s,t) le u(s,t), forall s,tin [0,1]}. Further we investigate the asymptotic behaviour of $psi(u;gammah)$ with $gamma$ tending to infinity, and solve a related minimisation problem.

Full work available at URL: https://arxiv.org/abs/0809.4560

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Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) Extreme value theory; extremal stochastic processes (60G70) Brownian motion (60J65)

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Cited In (8)

• Boundary noncrossings of additive Wiener fields
• An Asymptotic Result for Non Crossing Probabilities of Brownian Motion with Trend
• The joint distribution of running maximum of a Slepian process
• Accessing the power of tests based on set-indexed partial sums of multivariate regression residuals
• Boundary non-crossing probabilities of Gaussian processes: sharp bounds and asymptotics
• Statistical inference on a changing extreme value dependence structure
• Boundary non-crossing probabilities for fractional Brownian motion with trend
• Boundary non-crossing probabilities for Slepian process

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