XI: 03, 27-33, LNM 581 (1977)
CHUNG, Kai Lai
Pedagogic notes on the barrier theorem (
Potential theory)
Let $D$ a bounded open set in $
R^n$, and let $z$ be a boundary point. Then a barrier at $z$ is a superharmonic function in $D$, strictly positive and with a limit equal to $0$ at $z$. The barrier theorem asserts that if there is a barrier at $z$, then $z$ is regular. An elegant proof of this is given using Brownian motion. Then it is shown that the expectation of $S$, the hitting time of $D^c$, is bounded, upper semi-continuous in $R^n$ and continuous in $D$, and is a barrier at every regular point
Comment: An error is corrected in
1247Keywords: Classical potential theory,
Barrier,
Regular pointsNature: New proof of known results
Retrieve article from Numdam
XII: 47, 739-739, LNM 649 (1978)
CHUNG, Kai Lai
Correction to "Pedagogic Notes on the Barrier Theorem" (
Potential theory)
Corrects an error in
1103Keywords: Classical potential theory,
Barrier,
Regular pointsNature: Correction Retrieve article from Numdam
XLV: 15, 365-400, LNM 2078 (2013)
PAGÈS, Gilles
Functional Co-monotony of Processes with Applications to Peacocks and Barrier Options (
Theory of processes)
Keywords: Co-monotony,
antithetic simulation method,
processes with independent increments,
Liouville processes,
fractional Brownian motion,
Asian options,
sensitivity,
barrier optionsNature: Original
