The Asymptotic Behavior of a Brownian Motion with a Drift from a Random Domain

DOI10.1080/03610926.2010.517360zbMath1259.60096OpenAlexW2032080460MaRDI QIDQ2903799

Dawei Lu, Lixin Song

Publication date: 2 August 2012

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

Full work available at URL: https://doi.org/10.1080/03610926.2010.517360

zbMATH Keywords

asymptotic behaviorBessel processBrownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Large deviations (60F10)

Related Items (2)

The first exit time of a Brownian motion from the Minimum and maximum parabolic domains ⋮ Some Asymptotic Formulas for a Brownian Motion From the Maximum and Minimum Complicated Domains

Cites Work

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• 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

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