Hitting times to spheres of Brownian motions with and without drifts
Hitting times to spheres of Brownian motions with and without drifts
复制标题
有和没有漂移的布朗运动球体的击中时间
DOI：
10.1090/proc/13136
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发表时间：
2016
期刊：
影响因子：
--
通讯作者：
Y. Hamana and H. Matsumoto
中科院分区：
文献类型：
--
作者：
Kentaro Hirata;Y. Hamana and H. Matsumoto
给出了漂移布朗运动球首中时密度的显式表达式和尾概率的渐近性质。为此，我们给出了首次命中时间球和命中位置联合分布的拉普拉斯变换的显式公式，它不同于文献中已知的公式，具有独立的意义。引用
Explicit formulae for the densities of the first hitting times to the sphere of Brownian motions with drifts and the asymptotic behavior of the tail probabilities are shown. For this purpose we present an explicit formula for the Laplace transform of the joint distribution of the first hitting time to a sphere and the hitting position, which is different from the known formulae in the literature and is of independent interest. References