Pregled bibliografske jedinice broj: 21012
Asymptotics of first-passage time over a one-sided stochastic boundary
Asymptotics of first-passage time over a one-sided stochastic boundary // Journal of theoretical probability, 13 (2000), 1; 279-309 doi:10.1023/A:1007747312770 (međunarodna recenzija, članak, znanstveni)
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Naslov
Asymptotics of first-passage time over a one-sided stochastic boundary
Autori
Vondraček, Zoran
Izvornik
Journal of theoretical probability (0894-9840) 13
(2000), 1;
279-309
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
first-passage time ; stochastic boundary ; Brownian motion ; Levy processlocal time ; continuous martingale
(sfirst-passage time ; stochastic boundary ; Brownian motion ; Levy processlocal time ; continuous martingale)
Sažetak
We study the asymptotic behavior of the first-passage times for Brownian motion, L'evy processes and continuous martingales over one-sided increasing stochastic, as well as deterministic, boundaries. In particular, we study the first-passage time of a Brownian motion over the increasing function of its local time, give necessary and sufficient conditions for $t^{; ; -1/2}; ; $ asymptotics, and obtain exact asymptotics for linear functions.
Izvorni jezik
Engleski
Znanstvena područja
Matematika
POVEZANOST RADA
Projekti:
037008
Ustanove:
Prirodoslovno-matematički fakultet, Matematički odjel, Zagreb,
Prirodoslovno-matematički fakultet, Zagreb
Profili:
Zoran Vondraček
(autor)
Citiraj ovu publikaciju:
Časopis indeksira:
- Current Contents Connect (CCC)
- Web of Science Core Collection (WoSCC)
- Science Citation Index Expanded (SCI-EXP)
- SCI-EXP, SSCI i/ili A&HCI
- Scopus
Uključenost u ostale bibliografske baze podataka::
- MathSciNet
- Zentrallblatt für Mathematik/Mathematical Abstracts
