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Hitting spheres with Brownian motion revisited

Henryk Gzyl

Statistics & Probability Letters, 2019, vol. 155, issue C, -

Abstract: The problem of determining the distribution of the hitting time and place of a sphere by a Brownian motion has been analyzed from many points of view. In particular, the Laplace transform of the density of the hitting time has been obtained by several methods. Here, besides a quick review of classical results, we propose two ways of explicitly computing the density of the hitting time of the sphere.

Keywords: Hitting time; Exit time; Laplace transform; Density of hitting times (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2019.108565

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