Asymptotic Estimates of the Distribution of Brownian Hitting Time of a Disc

Kôhei Uchiyama ()
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Kôhei Uchiyama: Tokyo Institute of Technology

Journal of Theoretical Probability, 2012, vol. 25, issue 2, 450-463

Abstract: Abstract The distribution of the first hitting time of a disc for the standard two-dimensional Brownian motion is computed. By investigating the inversion integral of its Laplace transform we give fairly detailed asymptotic estimates of its density valid uniformly with respect to the point from which the Brownian motion starts.

Keywords: Brownian hitting time; Asymptotic expansion; Fourier analysis; Laplace inversion; 60J65 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s10959-010-0305-8

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