Hitting times to spheres of Brownian motions with drifts starting from the origin

DOI10.3792/pjaa.95.37zbMath1480.60248OpenAlexW2933940020WikidataQ128127401 ScholiaQ128127401MaRDI QIDQ2330697

Yuji Hamana

Publication date: 22 October 2019

Published in: Proceedings of the Japan Academy. Series A (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.pja/1554084023

zbMATH Keywords

modified Bessel functionsBrownian motion with driftfirst hitting time

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10)

Cites Work

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• Some probabilistic properties of Bessel functions
• Hitting times to spheres of Brownian motions with and without drifts
• The probability densities of the first hitting times of Bessel processes
• Eigenvalue expansions for diffusion hitting times
• Hitting Time and Place of Brownian Motion with Drift
• Excursions of Brownian motion and bessel processes
• Hitting time distributions of single points for 1-dimensional generalized diffusion processes
• First Passage times and Sojourn Times for Brownian Motion in Space and the Exact Hausdorff Measure of the Sample Path

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