Hitting times to spheres of Brownian motions with and without drifts

DOI10.1090/proc/13136zbMath1361.60072arXiv1504.03043OpenAlexW2267539886MaRDI QIDQ2827385

Yuji Hamana, Hiroyuki Matsumoto

Publication date: 19 October 2016

Published in: Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.03043

zbMATH Keywords

Brownian motionsphereshitting times

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (3)

Square-root boundaries for Bessel processes and the hitting times of radial Ornstein-Uhlenbeck processes ⋮ A formula for the expected volume of the Wiener sausage with constant drift ⋮ Hitting times to spheres of Brownian motions with drifts starting from the origin

Cites Work

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• A formula for the expected volume of the Wiener sausage with constant drift
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• The probability distributions of the first hitting times of Bessel processes
• The probability densities of the first hitting times of Bessel processes
• Eigenvalue expansions for diffusion hitting times
• Hitting Time and Place of Brownian Motion with Drift
• Brownian motion and harnack inequality for Schrödinger operators
• Hitting distributions of geometric Brownian motion
• Asymptotics of the densities of the first passage time distributions for Bessel diffusions
• On the growth of stochastic integrals

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