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Teoriya Veroyatnostei i ee Primeneniya, 1997, Volume 42, Issue 3, Pages 591–602
DOI: https://doi.org/10.4213/tvp1956
(Mi tvp1956)
 

This article is cited in 10 scientific papers (total in 10 papers)

On the Brownian first-passage time over a one-sided stochastic boundary

G. Peskira, A. N. Shiryaevb

a Institute of Mathematics, University of Aarhus, Denmark
b Steklov Mathematical Institute, Russian Academy of Sciences
Abstract: Let $B=(B_t)_{t \ge 0}$ be standard Brownian motion started at $0$ under $P$, let $S_t=\max_{ 0 \l r \l t} B_r$ be the maximum process associated with $B$, and let $g\colon\mathbf{R}_+\to\mathbf{R}$ be a (strictly) monotone continuous function satisfying $g(s) < s$ for all $s \ge 0 $. Let $ \tau $ be the first-passage time of $B$ over $t \mapsto g(S_t)$:
$$ \tau=\inf\{t>0\mid B_t\le g(S_t)\}. $$
Let $G$ be the function defined by
$$ G(y)=\exp(-\int_0^{g^{-1}(y)}\frac{ds}{s-g(s)}) $$
for $y \in \bf R$ in the range of $g$. Then, if $g$ is increasing, we have
$$ \lim_{t\to\infty}\sqrt{t}\mathsf{P}\{\tau\ge t\}=\sqrt{\frac2{\pi}}(-g(0)-\int_{g(0)}^{g(\infty)}G(y) dy), $$
and this number is finite. Similarly, if $g$ is decreasing, we have
$$ \lim_{t\to\infty}\sqrt{t}\mathsf{P}\{\tau\ge t\}=\sqrt{\frac2{\pi}}(-g(0)+\int_{g(\infty)}^{g(0)}G(y) dy\} $$
and this number may be infinite. These results may be viewed as a stochastic boundary extension of some known results on the first-passage time over deterministic boundaries. The method of proof relies on the classical Tauberian theorem and certain extensions of the Novikov-Kazamaki criteria for exponential martingales.
Keywords: Brownian motion, the first-passage time, stochastic boundary, Novikov–Kazamaki criteria, Tauberian theorem, Girsanov measure change, local martingale, diffusion process.
Received: 07.03.1997
English version:
Theory of Probability and its Applications, 1998, Volume 42, Issue 3, Pages 444–453
DOI: https://doi.org/10.1137/S0040585X97976313
Bibliographic databases:
Document Type: Article
Language: English
Citation: G. Peskir, A. N. Shiryaev, “On the Brownian first-passage time over a one-sided stochastic boundary”, Teor. Veroyatnost. i Primenen., 42:3 (1997), 591–602; Theory Probab. Appl., 42:3 (1998), 444–453
Citation in format AMSBIB
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\by G.~Peskir, A.~N.~Shiryaev
\paper On the Brownian first-passage time over a~one-sided stochastic boundary
\jour Teor. Veroyatnost. i Primenen.
\yr 1997
\vol 42
\issue 3
\pages 591--602
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\zmath{https://zbmath.org/?q=an:0924.60069}
\transl
\jour Theory Probab. Appl.
\yr 1998
\vol 42
\issue 3
\pages 444--453
\crossref{https://doi.org/10.1137/S0040585X97976313}
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  • This publication is cited in the following 10 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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