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Brownian motion between two random trajectories
- Publication Year :
- 2018
-
Abstract
- Consider the first exit time of one-dimensional Brownian motion $\{B_s\}_{s\geq 0}$ from a random passageway. We discuss a Brownian motion with two time-dependent random boundaries in quenched sense. Let $\{W_s\}_{s\geq 0}$ be an other one-dimensional Brownian motion independent of $\{B_s\}_{s\geq 0}$ and let $\bfP(\cdot|W)$ represent the conditional probability depending on the realization of $\{W_s\}_{s\geq 0}$. We show that $$-t^{-1}\ln\bfP^x(\forall_{s\in[0,t]}a+\beta W_s\leq B_s\leq b+\beta W_s|W)$$ converges to a finite positive constant $\gamma(\beta)(b-a)^{-2}$ almost surely and in $L^p~ (p\geq 1)$ if $a<br />Comment: 20 pages
- Subjects :
- Probability (math.PR)
FOS: Mathematics
Mathematics - Probability
Subjects
Details
- Language :
- English
- Database :
- OpenAIRE
- Accession number :
- edsair.doi.dedup.....e927e5a03f06a055fc0de2ce295c2a5b