Asymptotic estimates of the distribution of Brownian hitting time of a disc (Q430971)
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scientific article; zbMATH DE number 6050420
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| English | Asymptotic estimates of the distribution of Brownian hitting time of a disc |
scientific article; zbMATH DE number 6050420 |
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Asymptotic estimates of the distribution of Brownian hitting time of a disc (English)
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26 June 2012
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The author computes the distribution of the first hitting time of a disc for the standard two-dimensional Brownian motion. By investigating the inversion integral of its Laplace transform, the author gives fairly detailed asymptotic estimates of its density valid uniformly with respect to the point from which the Brownian motion starts.
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Brownian hitting time
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asymptotic expansion
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Fourier analysis
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Laplace inversion
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0.8539204597473145
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0.832337498664856
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0.8153470754623413
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0.8022071719169617
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0.797166645526886
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