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The location of the maximum of asymmetric two-sided Brownian motion with triangular drift

✍ Scribed by Henrik Stryhn


Publisher
Elsevier Science
Year
1996
Tongue
English
Weight
360 KB
Volume
29
Category
Article
ISSN
0167-7152

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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.