Asymptotic analysis of ruin in the constant elasticity of variance model

Fima Klebaner, Robert Liptser

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We give an asymptotic analysis for the probability of absorption P(tau(0) 0. tau(0) = inf t : X(t) = 0 , and the parameter gamma is an element of [1/2, 1) in the diffusion coefficient sigma x(gamma) assures P(tau(0) 0. Our main result is lim(K ->infinity) 1/K(2)(1-gamma) log P(tau(0) infinity.
Original languageEnglish
Pages (from-to)291 - 297
Number of pages7
JournalTheory of Probability and its Applications
Issue number2
Publication statusPublished - 2011

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