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Joint density of hitting time and point to an ellipse for Brownian motion

✍ Scribed by Chuancun Yin; Xuelei Zhao

Book ID
105641214
Publisher
Springer
Year
1997
Tongue
English
Weight
247 KB
Volume
42
Category
Article
ISSN
1001-6538

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πŸ“œ SIMILAR VOLUMES

The joint distribution of the hitting ti
The joint distribution of the hitting time and place to a sphere or spherical shell for Brownian motion with drift
✍ 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.