Abstract
By using excursions from the maximum, we get asymptotic information on the hitting law of a fluctuating Brownian functional. This extends a result of Isozaki and Kotani who considered the case when the underlying Lévy process is stable.
Citation
Paul M\lowercase cGill. "Hitting law asymptotics for a fluctuating Brownian functional." Osaka J. Math. 45 (2) 423 - 444, June 2008.
Information
Published: June 2008
First available in Project Euclid: 15 July 2008
MathSciNet: MR2441948
Subjects:
Primary:
60J65
Secondary:
45E10
,
60G51
Rights: Copyright © 2008 Osaka University and Osaka City University, Departments of Mathematics
