An asymptotic estimate for Brownian motion with drift

Paul McGill

Statistics & Probability Letters, 2006, vol. 76, issue 11, 1164-1169

Abstract: We apply an Abelian theorem, due to Berg, to determine the asymptotic behaviour of as x2t-1-[gamma]'x[short up arrow][infinity] when [xi] is the range of Brownian motion with positive drift [gamma]

Keywords: Tauberian; theorem; Brownian; motion; Hitting; times (search for similar items in EconPapers)
Date: 2006
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