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This article is cited in 30 scientific papers (total in 30 papers)
On estimates and the asymptotic behavior of nonexit probabilities of a Wiener process to a moving boundary
A. A. Novikov
Abstract:
In this paper the asymptotic behavior, as well as upper and lower bounds, is found for the probabilities $\mathsf P\{\sigma>T\}=\mathsf P\{|w_t|\leqslant f(t),0\leqslant t\leqslant T\}$,
$\mathsf P\{\sigma>T\}=\mathsf P\{w_t\geqslant g(t),0\leqslant t\leqslant T\}$ for large classes of functions $f$ and $g$.
Bibliography: 21 titles.
Received: 18.01.1979
Citation:
A. A. Novikov, “On estimates and the asymptotic behavior of nonexit probabilities of a Wiener process to a moving boundary”, Math. USSR-Sb., 38:4 (1981), 495–505
Linking options:
https://www.mathnet.ru/eng/sm2509https://doi.org/10.1070/SM1981v038n04ABEH001455 https://www.mathnet.ru/eng/sm/v152/i4/p539
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