On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes

DOI10.1007/s10998-011-5075-2zbMath1274.60251arXiv1012.2038OpenAlexW2032768451MaRDI QIDQ1945282

Marc Yor, Paavo H. Salminen

Publication date: 5 April 2013

Published in: Periodica Mathematica Hungarica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1012.2038

zbMATH Keywords

Bessel processBrownian bridgetime reversalhitting timereflecting Brownian motiontime inversionBessel bridgelinear boundary

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60)

Related Items (8)

Hitting time for Bessel processes-walk on moving spheres algorithm (WoMS) ⋮ Exit probability levels of diffusion processes ⋮ Gambling for resurrection and the heat equation on a triangle ⋮ A Yaglom type asymptotic result for subcritical branching Brownian motion with absorption ⋮ Invariance formulas for stopping times of squared Bessel process ⋮ On first exit times and their means for Brownian bridges ⋮ Adaptive quantile computation for Brownian bridge in change-point analysis ⋮ On the First Time that a 3-D Bessel Bridge Hits a Boundary

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