English

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 ψ(u;γh)\psi(u;\gamma h) with γ\gamma 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}
}

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14 pages