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An asymptotic estimate for Brownian motion with drift

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  • McGill, Paul

Abstract

We apply an Abelian theorem, due to Berg, to determine the asymptotic behaviour of as x2t-1-[gamma]'x[short up arrow][infinity] when [xi] is the range of Brownian motion with positive drift [gamma]

Suggested Citation

  • McGill, Paul, 2006. "An asymptotic estimate for Brownian motion with drift," Statistics & Probability Letters, Elsevier, vol. 76(11), pages 1164-1169, June.
    • Handle: RePEc:eee:stapro:v:76:y:2006:i:11:p:1164-1169
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    References listed on IDEAS

    as
    1. Daudin, Jean-Jacques & Etienne, Marie Pierre & Vallois, Pierre, 2003. "Asymptotic behavior of the local score of independent and identically distributed random sequences," Stochastic Processes and their Applications, Elsevier, vol. 107(1), pages 1-28, September.
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