The first passage time on the (reflected) Brownian motion with broken drift hitting a random boundary

DOI10.1016/J.SPL.2021.109040zbMATH Open1457.60127arXiv2010.06397OpenAlexW3120490701MaRDI QIDQ2658013FDOQ2658013

Authors: Zhenwen Zhao, Yuejuan Xi 

Publication date: 18 March 2021

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

Abstract: In this paper we consider a (reflected) Brownian motion with broken drift hitting a random boundary. Some dedicated calculations allow us to obtain the formula on the joint Laplace transform of the hitting time and hitting position. These develop the research on first rendezvous times of (reflected) Brownian motion and compound Poisson-type processes by Perry et al. (2004).

Full work available at URL: https://arxiv.org/abs/2010.06397

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zbMATH Keywords

Laplace transformthe first passage timebroken drift

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited In (2)

• Asymptotic variance parameters for the boundary local times of reflected Brownian motion on a compact interval
• The first rendezvous time of Brownian motion and compound Poisson-type processes

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