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The first exit time for a Bessel process from the minimum and maximum random domains

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  • Song, Lixin
  • Lu, Dawei
  • Feng, Jinghai

Abstract

Consider two exit probabilities of the Bessel process B(s) where hi(x),i=1,2 are reversible nondecreasing lower semi-continuous convex functions on [0,[infinity]) with hi(0),i=1,2 finite. W1(s) and W2(s) are independent standard Brownian motions and independent of {B(s)[set membership, variant]Rd,t>=0}. Based on the specific relationship between and , very useful estimates for the asymptotics of logP([dot operator]) are given by using Gaussian technique, respectively.

Suggested Citation

  • Song, Lixin & Lu, Dawei & Feng, Jinghai, 2009. "The first exit time for a Bessel process from the minimum and maximum random domains," Statistics & Probability Letters, Elsevier, vol. 79(20), pages 2115-2123, October.
    • Handle: RePEc:eee:stapro:v:79:y:2009:i:20:p:2115-2123
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    Cited by:

    1. Lu, Dawei & Wang, Xiaoguang, 2014. "Some new normal comparison inequalities related to Gordon’s inequality," Statistics & Probability Letters, Elsevier, vol. 88(C), pages 133-140.

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