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

DOI10.1016/J.SPL.2021.109040MaRDI QIDQ2658013zbMATH OpenOpenAlexFDO

Authors Zhenwen Zhao, Yuejuan Xi

Publication date 18 March 2021

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

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

zbMATH Keywords

Laplace transformthe first passage timebroken drift

Mathematics Subject Classification ID

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

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).

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Cited in

(6)

• The first rendezvous time of Brownian motion and compound Poisson-type processes
• The hitting time density for a reflected Brownian motion
• On the excursions of drifted Brownian motion and the successive passage times of Brownian motion
• First hitting time of Brownian motion on simple graph with skew semiaxes
• Asymptotic variance parameters for the boundary local times of reflected Brownian motion on a compact interval
• Hitting times of interacting drifted Brownian motions and the vertex reinforced jump process

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