The influence of a power law drift on the exit time of Brownian motion from a half-line

DOI10.1016/j.spa.2006.09.009zbMath1112.60060OpenAlexW2137799049MaRDI QIDQ877724

Robert G. Smits, Dante de Blassie

Publication date: 3 May 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2006.09.009

zbMATH Keywords

Bessel processBrownian motioncalculus of variationslarge deviationslifetime\(h\)-transform

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60) Large deviations (60F10)

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Rate of escape and central limit theorem for the supercritical Lamperti problem ⋮ A non-local problem for the Fokker-Planck equation related to the Becker-Döring model

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