Summary
An asymptotic formula (as t→ ∞) is derived for the density of the first-exit time of the Brownian motion over certain upper class functions. This result is applied to the study of the performance of tests of power one as the drift goes to zero.
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This work has been supported by the Deutsche Forschungsgemeinschaft
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Jennen, C., Lerche, H.R. Asymptotic densities of stopping times associated with tests of power one. Z. Wahrscheinlichkeitstheorie verw Gebiete 61, 501–511 (1982). https://doi.org/10.1007/BF00531620
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DOI: https://doi.org/10.1007/BF00531620