First hitting time of Brownian motion on simple graph with skew semiaxes (Q2157409): Difference between revisions

This paper considers a stochastic process living on a system of semiaxis emanating from a common origin. On each semiaxis, the particle behaves as a Brownian motion, and once at the origin, it changes to another semiaxis randomly according to a given transition probability. On each semiaxis they set an upper boundary and study the first time that the boundary is hit by the particle. They derive the Laplace transform of the first hitting time, and provide the explicit expressions for its density and distribution functions. Numerical examples are presented to illustrate the application of their results.