Crossing an Asymptotically Square-Root Boundary by the Brownian Motion

Crossing an Asymptotically Square-Root Boundary by the Brownian Motion Full article

Journal

Proceedings of the Steklov Institute of Mathematics
ISSN: 0081-5438 , E-ISSN: 1531-8605

Output data

Year: 2022, Volume: 316, Number: 1, Pages: 105-120 Pages count : 16 DOI: 10.1134/S0081543822010096

Tags

Brownian motion; parabolic cylinder function; space-time harmonic function

Authors

Denisov D.E. ¹ , Hinrichs G. ² , Sakhanenko A.I. ³ , Wachtel V.I. ²

Affiliations

1	Department of Mathematics, University of Manchester, Oxford Road, Manchester, M13 9PL, United Kingdom
2	Institut für Mathematik, Universität Augsburg, Augsburg, 86135, Germany
3	Sobolev Institute of Mathematics, Siberian Branch of the Russian Academy of Sciences, pr. Akad. Koptyuga 4, Novosibirsk, 630090, Russian Federation

Funding (2)

1	Russian Foundation for Basic Research	20-51-12007
2	Sobolev Institute of Mathematics	0314-2019-0008

Abstract: We consider first-passage times of the standard Brownian motion over boundaries of order sqrtt. Our main result determines the tail behaviour of such first-passage times. This generalizes the well-known results obtained by Novikov and Uchiyama.

Denisov D.E. , Hinrichs G. , Sakhanenko A.I. , Wachtel V.I.
Crossing an Asymptotically Square-Root Boundary by the Brownian Motion
Proceedings of the Steklov Institute of Mathematics. 2022. V.316. N1. P.105-120. DOI: 10.1134/S0081543822010096 WOS Scopus РИНЦ OpenAlex

Денисов Д.Э. , Хинрихс Г. , Саханенко А.И. , Вахтель В.И.
Пересечение броуновским движением границы порядка квадратного корня
Труды Математического института имени В.А. Стеклова. 2022. Т.316. №1. С.113-128. DOI: 10.4213/tm4241 РИНЦ OpenAlex

Web of science:	WOS:000789010000009
Scopus:	2-s2.0-85129048245
Elibrary:	48432753
OpenAlex:	W4225150367

DB	Citing
Scopus	1
Web of science	1
OpenAlex	2
Elibrary	2