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Asymptotic Estimates of the Distribution of Brownian Hitting Time of a Disc

✍ Scribed by Kôhei Uchiyama

Book ID: 113072945
Publisher: Springer US
Year: 2010
Tongue: English
Weight: 459 KB
Volume: 25
Category: Article
ISSN: 0894-9840
DOI: 10.1007/s10959-010-0305-8

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📜 SIMILAR VOLUMES

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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.