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    鲁大伟

    • 教授     博士生导师   硕士生导师
    • 任职 : 统计与金融研究所所长
    • 性别:男
    • 毕业院校:大连理工大学
    • 学位:博士
    • 所在单位:数学科学学院
    • 学科:概率论与数理统计. 金融数学与保险精算
    • 办公地点:数学科学学院,π空间,512室

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    在无界凸区域上多个布朗运动之和首冲时

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    发表时间:2022-10-10

    发表刊物:大连理工大学学报

    卷号:52

    期号:2

    页面范围:309-312

    ISSN号:1000-8608

    摘要:The first exit time of the sum of several Brownian motions in the case
       of Bessel function from an unbounded domain is
       considered.Firstly,general upper and lower asymptotic estimates for the
       first exit time of one Brownian motion from an unbounded open domain
       R~(d+1) are obtained,which are based on a powerful Gaussian technique
       and Slepian′s inequality.Then,the general upper and lower asymptotic
       estimates are considered to the first exit time of the sum of several
       Brownian motions in the case of Bessel function.At first,the first exit
       time probability with moving boundary is considered,then,it′s extended
       to the sum of the number of Brownian motions in the unbounded domain.It
       means that the first exit time of one Brownian motion is suitable for
       the first exit time of the sum of several Brownian motions.

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