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

DOI10.1023/A:1007747312770zbMath1425.60072MaRDI QIDQ5919596

Zoran Vondraček

Publication date: 22 August 2019

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

Processes with independent increments; Lévy processes (60G51) Brownian motion (60J65) Martingales with continuous parameter (60G44) Right processes (60J40)

Related Items (2)

First Passage Problems over Increasing Boundaries for Lévy Processes with Exponentially Decayed Lévy Measures ⋮ On the first-passage times of certain Gaussian processes, and related asymptotics

Cites Work

• Some extensions of the arc sine law as partial consequences of the scaling property of Brownian motion
• Perturbed Brownian motions
• Brownian first exit from and sojourn over one sided moving boundary and application
• Martingales, Tauberian Theorem, and Strategies of Gambling
• Beta Variables as Times Spent in [0, ∞[ By Certain Perturbed Brownian Motions
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