An asymptotic formula for the Kolmogorov diffusion and a refinement of Sinai's estimates for the integral of Brownian motion
Let \(\{(X(t), Y(t)); P_{(x,y)}\}\) be a two-dimensional diffusion process on \(\mathbb{R}^ 2\) defined by \[ Y(t) = y+b(t),\quad X(t) = x + \int^ t_ 0 Y(u)du = x + yt + \int^ t_ 0 b(u)du, \] where \(b(t)\) is the one-dimensional Brownian motion starting at 0. Let \(T\) be the first hitting time to the positive \(y\)-axis: \(T = \inf\{t \geq 0;\;X(t) = 0, Y(t) \geq 0\}\). Theorem. For \(a \geq 0\), \(b \geq 0\) and \((x,y) \in \mathbb{R}^ 2\) with \(x < 0\), \[ 1 - E_{(x,y)} (\text{exp} [-a \sigma^ 2 T - b\sigma Y(T)]) \sim C(a,b; x,y) \sqrt {\sigma}\qquad \text{as }\sigma \downarrow 0. \] The constant \(C(a,b; x,y)\) is strictly positive except \(a = b = 0\) or \(y \geq 0\) and \(x = 0\) and can be expressed in the following form \[ \begin{aligned} C(a,b; -\xi, -\eta) & = {3(b + \sqrt{2a}) \over \sqrt {\pi(b + 2 \sqrt {2a})} \Gamma(1/6)} \int^ \infty_ 0 e^{-t} \left( {9\over 2} \xi t + \eta^ 3 \right)^{1/6} t^{-5/6} dt,\quad \xi \geq 0,\;\eta > 0;\\ C(a,b; -\xi, \eta) & = {3(b + \sqrt {2a}) \over \sqrt {\pi(b + 2 \sqrt{2a})} \Gamma(1/6)} e^{-2 \eta^ 3/9 \xi} \int^ \infty_ 0 e^{-t} \left({9\over 2} \xi t\right)^{1/6} \left( t+ {2\over 9} {\eta^ 3\over \xi}\right) ^{-5/6} dt,\end{aligned} \] \(\xi>0\), \(\eta\geq 0\). From this theorem, we obtain the following two estimates: For \(r > 0\), \(a \in \mathbb{R}\), \(A > 0\) and \(\sigma > 0\), \[ P_{ra}(A) = P\left \{ \int^ t_ 0 b(u)du \leq r + at \text{ for all }0 \leq t \leq A \right\} \sim C_ 1(r,a) A^{-1/4} \quad \text{as }A \uparrow \infty \] and \[ P_{ra \sigma} = P\left \{ \int^ t_ 0 b(u) du \leq r + at + \sigma t^ 2 \text{ for all }0 \leq t < \infty \right\} \sim C_ 2(r,a) \sigma^{1/2} \quad \text{as }\sigma \downarrow 0. \] These are refinements of \textit{Ya. G. Sinaj's} estimates in [Theor. Math. Phys. 90, No. 3, 219-241 (1992); translation from Teor. Mat. Fiz. 90, No. 3, 323- 353 (1992; Zbl 0810.60063)].
scientific article; zbMATH DE number 751379