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First passage time statistics of Brownian motion with purely time dependent drift and diffusion

✍ Scribed by A. Molini; P. Talkner; G.G. Katul; A. Porporato


Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
603 KB
Volume
390
Category
Article
ISSN
0378-4371

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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.