Asymptotic estimates for the first hitting time of fluctuating additive functionals of brownian motion

Yasuki Isozaki; Shinichi Kotani

Séminaire de probabilités de Strasbourg (2000)

  • Volume: 34, page 374-387

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Isozaki, Yasuki, and Kotani, Shinichi. "Asymptotic estimates for the first hitting time of fluctuating additive functionals of brownian motion." Séminaire de probabilités de Strasbourg 34 (2000): 374-387. <http://eudml.org/doc/114048>.

@article{Isozaki2000,
author = {Isozaki, Yasuki, Kotani, Shinichi},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {first hitting time; asymptotic estimate},
language = {eng},
pages = {374-387},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Asymptotic estimates for the first hitting time of fluctuating additive functionals of brownian motion},
url = {http://eudml.org/doc/114048},
volume = {34},
year = {2000},
}

TY - JOUR
AU - Isozaki, Yasuki
AU - Kotani, Shinichi
TI - Asymptotic estimates for the first hitting time of fluctuating additive functionals of brownian motion
JO - Séminaire de probabilités de Strasbourg
PY - 2000
PB - Springer - Lecture Notes in Mathematics
VL - 34
SP - 374
EP - 387
LA - eng
KW - first hitting time; asymptotic estimate
UR - http://eudml.org/doc/114048
ER -

References

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  10. [10] L.C.G. Rogers, D. Williams, A differential equation in Wiener-Hopf theory, Stochastic analysis and applications, ed. A. Truman, D. Williams, Lecture Notes in Mathematics1095, pp. 187-199, Springer-Verlag, Berlin, 1984. Zbl0552.60076MR777522
  11. [11] D. Revuz, M. Yor, Continuous martingales and Brownian motion, Springer-Verlag, Berlin, 1991. Zbl0731.60002MR1083357
  12. [12] Ya.G. Sinai, Distribution of some functionals of the integral of a random walk, Theor. Math. Phys., 90 (1992), pp. 219-241. Zbl0810.60063MR1182301
  13. [13] V.M. Zolotarev, Mellin-Stieltjes transforms in probability theory, Theor. Prob. Appl., 2 (1957), pp. 433-460. MR108843

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