Distribution of sojourn time for a Brownian motion with jumps
β Scribed by A. N. Borodin
- Publisher
- Springer US
- Year
- 2008
- Tongue
- English
- Weight
- 212 KB
- Volume
- 152
- Category
- Article
- ISSN
- 1573-8795
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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.