Boundary non-crossings of Brownian pillow
Probability
2013-05-14 v1 Statistics Theory
Statistics Theory
Abstract
Let B_0(s,t) be a Brownian pillow with continuous sample paths, and let h,u:[0,1]^2\to R be two measurable functions. In this paper we derive upper and lower bounds for the boundary non-crossing probability \psi(u;h):=P{B_0(s,t)+h(s,t) \le u(s,t), \forall s,t\in [0,1]}. Further we investigate the asymptotic behaviour of with tending to infinity, and solve a related minimisation problem.
Keywords
Cite
@article{arxiv.0809.4560,
title = {Boundary non-crossings of Brownian pillow},
author = {Enkelejd Hashorva},
journal= {arXiv preprint arXiv:0809.4560},
year = {2013}
}
Comments
14 pages