Hitting Time and Place of Brownian Motion with Drift
Chuancun Yin, Chunwei Wang*
Identifiers and Pagination:Year: 2009
First Page: 38
Last Page: 42
Publisher Id: TOSPJ-1-38
Article History:Received Date: 27/2/2009
Revision Received Date: 11/3/2009
Acceptance Date: 19/3/2009
Electronic publication date: 29/5/2009
Collection year: 2009
open-access license: This is an open access article distributed under the terms of the Creative Commons Attribution 4.0 International Public License (CC-BY 4.0), a copy of which is available at: https://creativecommons.org/licenses/by/4.0/legalcode. This license permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
We consider a d-dimensional Brownian motion in Rd with drift. The explicit expressions are obtained for the joint density of the hitting time and place to a sphere, when the process starts either from the inside the sphere or from the out of sphere.