Asymptotic of Non-Crossings probability of Additive Wiener Fields

Pingjin Deng

Papers from arXiv.org

Abstract: Let $W_i=\{W_i(t_i), t_i\in \R_+\}, i=1,2,\ldots,d$ are independent Wiener processes. $W=\{W(\mathbf{t}),t\in \R_+^d\}$ be the additive Wiener field define as the sum of $W_i$. For any trend $f$ in $\kHC$ (the reproducing kernel Hilbert Space of $W$), we derive upper and lower bounds for the boundary non-crossing probability $$P_f=P\{\sum_{i=1}^{d}W_i(t_i) +f(\mathbf{t})\leq u(\mathbf{t}), \mathbf{t}\in\R_+^d\},$$ where $u: \R_+^d\rightarrow \R_+$ is a measurable function. Furthermore, for large trend functions $\gamma f>0$, we show that the asymptotically relation $\ln P_{\gamma f}\sim \ln P_{\gamma \underline{f}}$ as $\gamma \to \IF$, where $\underline{f}$ is the projection of $f$ on some closed convex subset of $\kHC$.

Date: 2016-10
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