Taylor expansions of curve-crossing probabilities
type: Item
instance of: scholarly article
title: Taylor expansions of curve-crossing probabilities
zbMATH Open document ID: 0945.60084
DOI: 10.2307/3318444
author: Yanyan Li
published in: Bernoulli
publication date: 2000-01-31T00:00:00Z
full work available at URL: https://projecteuclid.org/euclid.bj/1171290399
review text: A Taylor expansion is obtained for the probability that a Brownian motion hits a smooth nonlinear boundary of the type \(a+\beta t+\varepsilon c(t)\) for small \(\varepsilon> 0\). The proof is based on the Cameron-Martin-Girsanov formula. A probabilistic interpretation of the expansion is given.
Mathematics Subject Classification ID: 60J65
zbMATH DE Number: 1396204
zbMATH Keywords: Brownian motion
zbMATH Keywords: Cameron-Martin-Girsanov theorem
zbMATH Keywords: curve-crossing probabilities
zbMATH Keywords: harmonic functions
MaRDI profile type: Publication
OpenAlex ID: W1964511087
description: scientific article; zbMATH DE number 1396204