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  • Search: subject:"Large deviations Boundary crossing Upper class functions"
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Brownian motion 1 Large deviations Boundary crossing Upper class functions 1
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Beibel, M. 1 Lerche, H. R. 1
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Stochastic Processes and their Applications 1
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A refined large deviation principle for Brownian motion and its application to boundary crossing
Beibel, M.; Lerche, H. R. - In: Stochastic Processes and their Applications 51 (1994) 2, pp. 269-276
Let W denote standard Brownian motion. We consider large deviations for [var epsilon]1/2W as [var epsilon] tends to zero. Let q be a nondecreasing function on [0, 1] which belongs to the upper class of Brownian motion at the origin. We show that in the usual large deviation principle (see...
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