Brownian motion with a horizontal Bessel drift in a parabolic-type domain

Haneen Alayed and Dante DeBlassie

Stochastic Processes and their Applications, 2021, vol. 140, issue C, 183-215

Abstract: We extend the results of Lifshits and Shi for Brownian motion in parabolic-type domains by including a Bessel drift in the horizontal direction.

Keywords: Brownian motion; Bessel process; Brownian motion with a drift; Parabolic-type domains; Exit time; Stochastic comparison. (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.spa.2021.06.008

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