✦ LIBER ✦

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

✍ Scribed by Chuancun Yin

Publisher: Elsevier Science
Year: 1999
Tongue: English
Weight: 95 KB
Volume: 42
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(98)00231-4

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✦ Synopsis

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.