Distribution of the Brownian motion on its way to hitting zero
Probability
2008-12-18 v2 Statistics Theory
Statistics Theory
Abstract
For the one-dimensional Brownian motion , started at , and the first hitting time , we find the probability density of for a , i.e. of the Brownian motion on its way to hitting zero.
Cite
@article{arxiv.0811.0909,
title = {Distribution of the Brownian motion on its way to hitting zero},
author = {P. Chigansky and F. C. Klebaner},
journal= {arXiv preprint arXiv:0811.0909},
year = {2008}
}
Comments
7 pages, final version