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

DOI10.3792/PJAA.95.37MaRDI QIDQ2330697zbMATH OpenOpenAlexWikidataFDO

Authors 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

first hitting timemodified Bessel functionsBrownian motion with drift

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3642454 (Why is no real title available?)
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• Eigenvalue expansions for diffusion hitting times
• Excursions of Brownian motion and bessel processes
• First Passage times and Sojourn Times for Brownian Motion in Space and the Exact Hausdorff Measure of the Sample Path
• Hitting time and place of Brownian motion with drift
• Hitting time distributions of single points for 1-dimensional generalized diffusion processes
• Hitting times to spheres of Brownian motions with and without drifts
• Some probabilistic properties of Bessel functions
• Table of integrals, series, and products. Translated from the Russian. Translation edited and with a preface by Alan Jeffrey and Daniel Zwillinger. With one CD-ROM (Windows, Macintosh and UNIX)
• The probability densities of the first hitting times of Bessel processes

Cited in

(10)

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• The joint distribution of the hitting time and place to a sphere or spherical shell for Brownian motion with drift
• Asymptotics of the hitting probability for a small sphere and a two dimensional Brownian motion with discontinuous anisotropic drift
• Hitting distributions of geometric Brownian motion
• Hitting probabilities of a Brownian flow with radial drift
• Hitting times to spheres of Brownian motions with and without drifts
• Brownian hitting to spheres
• On a problem of H. P. McKean: Independence of Brownian hitting times and places
• scientific article; zbMATH DE number 4001257 (Why is no real title available?)
• scientific article; zbMATH DE number 4123006 (Why is no real title available?)

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