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

Chuancun Yin

Statistics & Probability Letters, 1999, vol. 42, issue 4, 367-373

Abstract: 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.

Keywords: Brownian; motion; with; drift; Hitting; time; Hitting; place; Laplace-Gegenbauer; transform (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (2)

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