The exact asymptotic of the collision time tail distribution for independent Brownian particles with different drifts

DOI10.1007/s00440-007-0116-8zbMath1146.60069arXiv0704.0215OpenAlexW3101158702WikidataQ62582434 ScholiaQ62582434MaRDI QIDQ946490

Tomasz Rolski, Zbigniew Puchała

Publication date: 23 September 2008

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0704.0215

zbMATH Keywords

Brownian motion with driftcollision timestable partitionKarlin-McGregor formula

Mathematics Subject Classification ID

Brownian motion (60J65)

Related Items (5)

Extremal behavior of hitting a cone by correlated Brownian motion with drift ⋮ Persistence of heavy-tailed sample averages: principle of infinitely many big jumps ⋮ On the singular values of complex matrix Brownian motion with a matrix drift ⋮ Unnamed Item ⋮ On the exit time from a cone for random walks with drift

Cites Work

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• Coincidence probabilities
• Littelmann paths and Brownian paths
• The exact asymptotic of the time to collision
• Brownian motion in a Weyl chamber, non-colliding particles, and random matrices
• Exit problems associated with finite reflection groups
• Applied Probability and Queues
• The planar approximation. II

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