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Distribution of functionals of Brownian motion stopped at the moment inverse to a linear combination of local times

✍ Scribed by A. N. Borodin


Publisher
Springer US
Year
2005
Tongue
English
Weight
160 KB
Volume
127
Category
Article
ISSN
1573-8795

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πŸ“œ SIMILAR VOLUMES


The joint distribution of the hitting ti
✍ Chuancun Yin πŸ“‚ Article πŸ“… 1999 πŸ› Elsevier Science 🌐 English βš– 95 KB

Let Xt be a standard d-dimensional Brownian motion with drift c started at a ΓΏxed 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.