Abstract
Using an approach based on the Cameron-Martin-Girsanov theorem, we obtain a Taylor expansion for the probability that Brownian motion hits a smooth nonlinear boundary which grows at a suitable rate. The structure and probabilistic meaning of the terms in the expansion are studied in some detail.
Citation
David G. Hobson. David Williams. Andrew T.A. Wood. "Taylor expansions of curve-crossing probabilities." Bernoulli 5 (5) 779 - 795, October 1999.
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