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An occupation time identity for reflecting Brownian motion with drift

✍ Scribed by Marina Kozlova; Paavo Salminen

Publisher: Springer Netherlands
Year: 2005
Tongue: English
Weight: 154 KB
Volume: 50
Category: Article
ISSN: 0031-5303
DOI: 10.1007/s10998-005-0012-x

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Let Xt be a standard d-dimensional Brownian motion with drift c started at a ÿxed X0, and let T be the hitting time for a sphere or concentric spherical shell. By using an appropriate martingale, a Laplace-Gegenbauer transform of the joint distribution of T and XT is determined.