The joint distribution of the hitting time and place to a sphere or spherical shell for Brownian motion with drift
Let Xt be a standard d-dimensional Brownian motion with drift c started at a fixed 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.
Year of publication: |
1999
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Authors: | Yin, Chuancun |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 42.1999, 4, p. 367-373
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Publisher: |
Elsevier |
Keywords: | Brownian motion with drift Hitting time Hitting place Laplace-Gegenbauer transform |
Saved in:
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