Hitting spheres with Brownian motion revisited

DOI10.1016/J.SPL.2019.108565MaRDI QIDQ2273732zbMATH OpenOpenAlexFDO

Authors Henryk Gzyl

Publication date 25 September 2019

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2019.108565

zbMATH Keywords

density of hitting timesexit timehitting timeLaplace transform

Mathematics Subject Classification ID

Brownian motion (60J65)

Recommendations

• Hitting times to spheres of Brownian motions with and without drifts
• Hitting time and place to a sphere or spherical shell for Brownian motion
• Hitting time and place of Brownian motion with drift
• Hitting spheres from the exterior
• Density of space-time distribution of Brownian first hitting of a disc and a ball

Cites work

• Diffusions and waves
• Hitting spheres from the exterior
• Hitting spheres with Brownian motion
• scientific article; zbMATH DE number 3642454 (Why is no real title available?)
• scientific article; zbMATH DE number 3538002 (Why is no real title available?)
• scientific article; zbMATH DE number 3448056 (Why is no real title available?)
• scientific article; zbMATH DE number 3206627 (Why is no real title available?)
• Measure-valued random processes
• Some probabilistic properties of Bessel functions

Cited in

(16)

• Hitting time and place to a sphere or spherical shell for Brownian motion
• Hitting spheres from the exterior
• Hitting spheres with Brownian motion and Sommerfeld's radiation condition
• Volume of the domain visited by N spherical Brownian particles.
• Hitting times to spheres of Brownian motions with and without drifts
• Density of space-time distribution of Brownian first hitting of a disc and a ball
• scientific article; zbMATH DE number 1829422 (Why is no real title available?)
• Hitting time and place of Brownian motion with drift
• Hitting spheres by straight-line motion or Brownian motion
• scientific article; zbMATH DE number 4111739 (Why is no real title available?)
• scientific article; zbMATH DE number 1310921 (Why is no real title available?)
• Asymptotic estimates of the distribution of Brownian hitting time of a disc
• scientific article; zbMATH DE number 680017 (Why is no real title available?)
• scientific article; zbMATH DE number 4123006 (Why is no real title available?)
• First-exit-time problems for two-dimensional Wiener and Ornstein–Uhlenbeck processes through time-varying ellipses
• Brownian hitting to spheres

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