Hitting law asymptotics for a fluctuating Brownian functional

M\lowercase cGill, Paul

Osaka J. Math., Tome 45 (2008) no. 1, p. 423-444 / Harvested from Project Euclid

Résumé

By using excursions from the maximum, we get asymptotic information on the hitting law of a fluctuating Brownian functional. This extends a result of Isozaki and Kotani who considered the case when the underlying Lévy process is stable.

Publié le : 2008-06-15
Classification: 60J65, 60G51, 45E10

@article{1216151107,
     author = {M\lowercase cGill, Paul},
     title = {Hitting law asymptotics for a fluctuating Brownian functional},
     journal = {Osaka J. Math.},
     volume = {45},
     number = {1},
     year = {2008},
     pages = { 423-444},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1216151107}
}

M\lowercase cGill, Paul. Hitting law asymptotics for a fluctuating Brownian functional. Osaka J. Math., Tome 45 (2008) no. 1, pp.  423-444. http://gdmltest.u-ga.fr/item/1216151107/