Exact asymptotics for boundary crossing probabilities of Brownian motion with piecewise linear trend

DOI10.1214/ECP.v10-1155zbMath1110.60076OpenAlexW1989170354MaRDI QIDQ2433651

Enkelejd Hashorva

Publication date: 3 November 2006

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/127250

Mathematics Subject Classification ID

Brownian motion (60J65) Large deviations (60F10)

Related Items (7)

Approximations for weighted Kolmogorov-Smirnov distributions via boundary crossing probabilities ⋮ Small deviation of Brownian motion with large drift ⋮ The joint distribution of running maximum of a Slepian process ⋮ Boundary non-crossing probabilities for Slepian process ⋮ Boundary non-crossings of Brownian pillow ⋮ Boundary non-crossing probabilities of Gaussian processes: sharp bounds and asymptotics ⋮ Boundary non-crossing probabilities for fractional Brownian motion with trend

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