RESEARCH ARTICLE
Hitting Time and Place of Brownian Motion with Drift
Chuancun Yin, Chunwei Wang*
School of Mathematical Sciences, Qufu Normal University, Qufu 273165, China.
Article Information
Identifiers and Pagination:
Year: 2009Volume: 1
First Page: 38
Last Page: 42
Publisher Id: TOSPJ-1-38
DOI: 10.2174/1876527000901010038
Article History:
Received Date: 27/2/2009Revision Received Date: 11/3/2009
Acceptance Date: 19/3/2009
Electronic publication date: 29/5/2009
Collection year: 2009
© 2009 Yin et al.;
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.
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.
Abstract
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.
Keywords: Brownian motion with drift, hitting time, hitting place, Joint density..
