The joint distributions of first hitting and last exit for Brownian motion
type: Item
instance of: scholarly article
title: The joint distributions of first hitting and last exit for Brownian motion
zbMATH Open document ID: 0824.60086
author: Zikun Wang
published in: Chinese Science Bulletin
publication date: 1995-11-06T00:00:00Z
review text: Let \(B\) be a compact set in \(\mathbb{R}^ d\), the author gives a potential theoretic formula for the joint distribution of the first hitting time and the last hitting time of \(B\), and the positions at these times, of a Brownian motion in \(\mathbb{R}^ d\), and gives several consequences of this formula. In the case where \(B\) is a sphere centered at zero and the starting point of Brownian motion is zero, the formula can be made explicit.
Mathematics Subject Classification ID: 60J65
zbMATH DE Number: 783500
zbMATH Keywords: spherical symmetry
zbMATH Keywords: first hitting time
zbMATH Keywords: Brownian motion
reviewed by: Philippe Biane
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 783500