Abstract
Motivated by an approximation problem from mathematical finance, we analyse the stability of the boundary crossing probability for the multivariate Brownian motion process, with respect to small changes of the boundary. Under broad assumptions on the nature of the boundary, including the Lipschitz condition (in a Hausdorff-type metric) on its time cross-sections, we obtain an analogue of the Borovkov and Novikov (2005) upper bound for the difference between boundary hitting probabilities for close boundaries in the univariate case. We also obtained upper bounds for the first boundary crossing time densities.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
