On the excursions of drifted Brownian motion and the successive passage times of Brownian motion

Mario Abundo

Physica A: Statistical Mechanics and its Applications, 2016, vol. 457, issue C, 176-182

Abstract: By using the law of the excursions of Brownian motion with drift, we find the distribution of the nth passage time of Brownian motion through a straight line S(t)=a+bt. In the special case when b=0, we extend the result to a space–time transformation of Brownian motion.

Keywords: First-passage time; Second-passage time; Brownian motion (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:457:y:2016:i:c:p:176-182

DOI: 10.1016/j.physa.2016.03.052

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