Some asymptotic formulas of a Brownian motion with regular variation from the maximum and minimum complicated domains

DOI10.1080/03610926.2014.960590zbMath1349.60057OpenAlexW2517340054MaRDI QIDQ2832652

Dawei Lu

Publication date: 11 November 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.960590

zbMATH Keywords

Brownian motionregular variationfirst exit timeGordon inequality

Mathematics Subject Classification ID

Gaussian processes (60G15) Stopping times; optimal stopping problems; gambling theory (60G40) Large deviations (60F10)

Cites Work

• Unnamed Item
• The first exit time of a Brownian motion from the Minimum and maximum parabolic domains
• The first exit time for a Bessel process from the minimum and maximum random domains
• 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
• ON ESTIMATES AND THE ASYMPTOTIC BEHAVIOR OF NONEXIT PROBABILITIES OF A WIENER PROCESS TO A MOVING BOUNDARY

This page was built for publication: Some asymptotic formulas of a Brownian motion with regular variation from the maximum and minimum complicated domains