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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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    The Asymptotic Behavior of a Brownian Motion with a Drift from a Random Domain

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    论文类型:期刊论文

    发表时间:2012-01-01

    发表刊物:COMMUNICATIONS IN STATISTICS-THEORY AND METHODS

    收录刊物:SCIE、EI

    卷号:41

    期号:1

    页面范围:62-75

    ISSN号:0361-0926

    关键字:Asymptotic behavior; Bessel process; Brownian motion

    摘要:Consider a Brownian motion with drift starting at an interior point of a random domain D in Rd+1, d >= 1, let tau(D) denote the first time the Brownian motion exits from D. Estimates with exact constants for the asymptotics of log P(tau(D) > T) are given for T -> infinity, depending on the shape of the domain D and the order of the drift. The problem is motivated by the model in insurance and early works of Lifshits and Shi. The methods of proof are based on the calculus of variations and early works of Li, Lifshits and Shi in the drift free case.