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Brownian motion with restoring drift: The petit and micro-canonical ensembles

✍ Scribed by H. P. McKean; K. L. Vaninsky

Publisher: Springer
Year: 1994
Tongue: English
Weight: 675 KB
Volume: 160
Category: Article
ISSN: 0010-3616
DOI: 10.1007/bf02173433

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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.