Asymptotics of first-passage time over a one-sided stochastic boundary

DOI10.1023/A:1007747312770zbMath0970.60091MaRDI QIDQ5918057

Zoran Vondraček

Publication date: 6 October 2001

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

zbMATH Keywords

Brownian motionlocal timeLévy processcontinuous martingalefirst-passage timestochastic boundary

Mathematics Subject Classification ID

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

Related Items

On the First-Passage Time of a Diffusion Process Over a One-Sided Stochastic Boundary ⋮ The first passage time problem over a moving boundary for asymptotically stable Lévy processes ⋮ First hitting time distributions for Brownian motion and regions with piecewise linear boundaries ⋮ On the first hitting time of a one-dimensional diffusion and a compound Poisson process ⋮ Limit at Zero of the First-Passage Time Density and the Inverse Problem for One-Dimensional Diffusions

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