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

DOI10.3792/PJAA.95.37zbMATH Open1480.60248OpenAlexW2933940020WikidataQ128127401 ScholiaQ128127401MaRDI QIDQ2330697FDOQ2330697

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

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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)

Cites Work

• 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)
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• Some probabilistic properties of Bessel functions
• 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
• The probability densities of the first hitting times of Bessel processes
• Eigenvalue expansions for diffusion hitting times
• Hitting times to spheres of Brownian motions with and without drifts
• Hitting time distributions of single points for 1-dimensional generalized diffusion processes
• Hitting Time and Place of Brownian Motion with Drift

Cited In (5)

• The joint distribution of the hitting time and place to a sphere or spherical shell for Brownian motion with drift
• Hitting distributions of geometric Brownian motion
• Title not available (Why is that?)
• On a problem of H. P. McKean: Independence of Brownian hitting times and places
• Title not available (Why is that?)

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