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

DOI10.1016/S0167-7152(98)00231-4zbMath0945.60087OpenAlexW2015174059WikidataQ126400958 ScholiaQ126400958MaRDI QIDQ1962218

Chuan-Cun Yin

Publication date: 30 January 2000

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(98)00231-4

zbMATH Keywords

Brownian motion with drifthitting timehitting placeLaplace-Gegenbauer transform

Mathematics Subject Classification ID

Brownian motion (60J65)

Related Items (4)

Similarity solutions of partial differential equations in probability ⋮ Asymptotics of the hitting probability for a small sphere and a two dimensional Brownian motion with discontinuous anisotropic drift ⋮ Hitting times to spheres of Brownian motions with and without drifts ⋮ Multidimensional hitting time results for Brownian bridges with moving hyperplanar boundaries

Cites Work

• Hitting spheres with Brownian motion
• An independence property of Brownian motion with drift
• Hitting spheres from the exterior
• Hitting spheres with Brownian motion and Sommerfeld's radiation condition
• Measure-valued random processes
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