Taylor expansions of curve-crossing probabilities
| dc.contributor.author | Hobson, David G. | en |
| dc.contributor.author | Williams, David | en |
| dc.contributor.author | Wood, Andrew T.A. | en |
| dc.date.accessioned | 2025-03-28T19:21:30Z | |
| dc.date.available | 2025-03-28T19:21:30Z | |
| dc.date.issued | 1999 | en |
| dc.description.abstract | 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. | en |
| dc.description.status | true | en |
| dc.format.extent | 17 | en |
| dc.identifier.other | Scopus:11844283608 | en |
| dc.identifier.uri | https://dspace-test.anu.edu.au/handle/1885/733744776 | |
| dc.identifier.url | http://www.scopus.com/inward/record.url?scp=11844283608&partnerID=8YFLogxK | en |
| dc.language.iso | English | en |
| dc.source | Bernoulli | en |
| dc.subject | Brownian motion | en |
| dc.subject | Cameron-Martin-Girsanov theorem | en |
| dc.subject | Curve-crossing probabilities | en |
| dc.subject | Harmonic functions | en |
| dc.subject | Lévy-khinchine operator | en |
| dc.title | Taylor expansions of curve-crossing probabilities | en |
| dc.type | Article | en |
| local.bibliographicCitation.lastpage | 795 | en |
| local.bibliographicCitation.startpage | 779 | en |
| local.contributor.affiliation | Hobson, David G.; University of Bath | en |
| local.contributor.affiliation | Williams, David; University of Bath | en |
| local.contributor.affiliation | Wood, Andrew T.A.; University of Bath | en |
| local.identifier.citationvolume | 5 | en |
| local.identifier.doi | 10.2307/3318444 | en |
| local.identifier.pure | ec487a00-7a0d-491e-b8e9-3c9cc97e8426 | en |
| local.type.status | Published | en |