Small deviation of Brownian motion with large drift

DOI10.1016/J.SPL.2010.06.016zbMath1202.60134OpenAlexW2095561112MaRDI QIDQ1957155

Vitalii A. Gasanenko

Publication date: 24 September 2010

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.06.016

zbMATH Keywords

Brownian motion in curvilinear stripparabolic initial-boundary problem with parameter

Mathematics Subject Classification ID

Brownian motion (60J65)

Cites Work

• The first exit time of Brownian motion form a parabolic domain
• Exact asymptotics for boundary crossing probabilities of Brownian motion with piecewise linear trend

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