Taylor expansions of curve-crossing probabilities
Hobson, David G. ; Williams, David ; Wood, Andrew T.A.
Bernoulli, Tome 5 (1999) no. 6, p. 779-795 / Harvested from Project Euclid
Text on Project Euclid
PDF
Alt PDF
Using an approach based on the Cameron-Martin-Girsanov theorem, we obtain a Taylor expansion for the probability that Brownian motion hits a smooth nonlinear boundary which grows at a suitable rate. The structure and probabilistic meaning of the terms in the expansion are studied in some detail.
Publié le : 1999-10-14
Classification:  Brownian motion,  Cameron-Martin-Girsanov theorem,  curve-crossing probabilities,  harmonic functions,  Lévy-Khinchine operator 
@article{1171290399,
     author = {Hobson, David G. and Williams, David and Wood, Andrew T.A.},
     title = {Taylor expansions of curve-crossing probabilities},
     journal = {Bernoulli},
     volume = {5},
     number = {6},
     year = {1999},
     pages = { 779-795},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1171290399}
}

Hobson, David G.; Williams, David; Wood, Andrew T.A. Taylor expansions of curve-crossing probabilities. Bernoulli, Tome 5 (1999) no. 6, pp.  779-795. http://gdmltest.u-ga.fr/item/1171290399/