On the first-passage time of integrated Brownian motion
2005 ◽
Vol 2005
(3)
◽
pp. 237-246
Keyword(s):
Let (Bt;t≥0) be a Brownian motion process starting from B0=ν and define Xν(t)=∫0tBsds. For a≥0, set τa,ν:=inf{t:Xν(t)=a} (with inf φ=∞). We study the conditional moments of τa,ν given τa,ν<∞. Using martingale methods, stopping-time arguments, as well as the method of dominant balance, we obtain, in particular, an asymptotic expansion for the conditional mean E(τa,ν|τa,ν<∞) as ν→∞. Through a series of simulations, it is shown that a truncation of this expansion after the first few terms provides an accurate approximation to the unknown true conditional mean even for small ν.
1978 ◽
Vol 15
(02)
◽
pp. 300-310
◽
2009 ◽
Vol 46
(1)
◽
pp. 181-198
◽
2005 ◽
Vol 38
(19)
◽
pp. 4097-4104
◽
2012 ◽
Vol 49
(02)
◽
pp. 549-565
◽
Keyword(s):
Keyword(s):
2020 ◽
Vol 155
◽
pp. 103-118
◽
Keyword(s):
2012 ◽
Vol 45
(18)
◽
pp. 185001
◽
Keyword(s):
2012 ◽
Vol 49
(2)
◽
pp. 549-565
◽
Keyword(s):