The Proportion of Brownian Sojourn Outside a Moving Boundary
Uchiyama, Kohei
Ann. Probab., Tome 10 (1982) no. 4, p. 220-233 / Harvested from Project Euclid
Let $B_t$ be a $d$-dimensional Brownian motion starting at zero and $h(t)$ a positive nondecreasing function of $t > 0$. It is shown that $\lim \sup_{s\downarrow 0}(1/s)\operatorname{meas} \{t \in (0, s\rbrack: |B_t| > h(t)\sqrt t\} = 1 - e^{-4(q-1)}$; where $q$ is defined as a simple functional of $h$ and, if we take $h_c(t) = c\sqrt{(2 \log \log(1/t))}$ for $h$ and if $0 < c \leqq 1, q = 1/c^2$. We also investigate $X^\ast = \lim \sup_{s\downarrow 0}(1/s)\operatorname{meas}\{t \in (0, s\rbrack: |B_t| < (\sqrt t)/h(t)\}$ and find upper and lower bounds of $X^\ast$, which indicate in particular that if $h = h_c(c > 0), X^\ast = p_c$ (say) is positive and less than one and tends to zero (one) as $c\uparrow \infty$ (respectively, $c \downarrow 0$). The problem for the case $s \rightarrow \infty$ is also treated.
Publié le : 1982-02-14
Classification:  $d$-dimensional Brownian motion,  sojourn time outside a moving boundary,  60G17,  60J65
@article{1176993925,
     author = {Uchiyama, Kohei},
     title = {The Proportion of Brownian Sojourn Outside a Moving Boundary},
     journal = {Ann. Probab.},
     volume = {10},
     number = {4},
     year = {1982},
     pages = { 220-233},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176993925}
}
Uchiyama, Kohei. The Proportion of Brownian Sojourn Outside a Moving Boundary. Ann. Probab., Tome 10 (1982) no. 4, pp.  220-233. http://gdmltest.u-ga.fr/item/1176993925/