The influence of a power law drift on the exit time of Brownian motion from a half-line

Dante DeBlassie and Robert Smits

Stochastic Processes and their Applications, 2007, vol. 117, issue 5, 629-654

Abstract: The addition of a Bessel drift to a Brownian motion affects the lifetime of the process in the interval (0,[infinity]) in a well-understood way. We study the corresponding effect of a power of the Bessel drift. The most interesting case occurs when [beta]>0. If p>1 then the effect of the drift is not too great in the sense that the exit time has the same critical value q0 for the existence of qth moments (q>0) as the exit time of Brownian motion. When p

Keywords: Lifetime; Brownian; motion; Bessel; process; Large; deviations; Calculus; of; variations; h-transform (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (1)

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