Back to Search Start Over

First exit of Brownian motion from a one-sided moving boundary

Authors :
Aurzada, Frank
Kramm, Tanja
Publication Year :
2012

Abstract

We revisit a result of Uchiyama (1980): given that a certain integral test is satisfied, the rate of the probability that Brownian motion remains below the moving boundary $f$ is asymptotically the same as for the constant boundary. The integral test for $f$ is also necessary in some sense. After Uchiyama's result, a number of different proofs appeared simplifying the original arguments, which strongly rely on some known identities for Brownian motion. In particular, Novikov (1996) gives an elementary proof in the case of an increasing boundary. Here, we provide an elementary, half-page proof for the case of a decreasing boundary. Further, we identify that the integral test is related to a repulsion effect of the three-dimensional Bessel process. Our proof gives some hope to be generalized to other processes such as FBM.<br />Comment: 5 pages

Subjects

Subjects :
Mathematics - Probability
60G51

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.1203.4691
Document Type :
Working Paper