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6. Probability, Stochastic Analysis, and Mathematical Statistics

Brownian motion with power law drifts

Adina Oprişan
New Mexico State University, Las Cruces, New Mexico, USA

Abstract:

We will discuss the influence of some power law drifts on the exit time of the Brownian motion from the half-line. The behavior of the process far away from zero will have the greatest influence on the exit time and we are evaluating the lifetime of the process using large deviations techniques. This talk is based on a joint work with D. DeBlassie and R. Smits.