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发布时间：2019-03-09

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：EI、SCIE

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.