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The influence of a power law drift on the exit time of Brownian motion from a half-line

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  • DeBlassie, Dante
  • Smits, Robert

Abstract

The addition of a Bessel drift to a Brownian motion affects the lifetime of the process in the interval (0,[infinity]) in a well-understood way. We study the corresponding effect of a power of the Bessel drift. The most interesting case occurs when [beta]>0. If p>1 then the effect of the drift is not too great in the sense that the exit time has the same critical value q0 for the existence of qth moments (q>0) as the exit time of Brownian motion. When p

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  • DeBlassie, Dante & Smits, Robert, 2007. "The influence of a power law drift on the exit time of Brownian motion from a half-line," Stochastic Processes and their Applications, Elsevier, vol. 117(5), pages 629-654, May.
    • Handle: RePEc:eee:spapps:v:117:y:2007:i:5:p:629-654
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    1. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
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    1. Menshikov, Mikhail V. & Wade, Andrew R., 2010. "Rate of escape and central limit theorem for the supercritical Lamperti problem," Stochastic Processes and their Applications, Elsevier, vol. 120(10), pages 2078-2099, September.

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