English

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 B=(Bt)t0B=(B_t)_{t\ge 0}, started at x>0x>0, and the first hitting time τ=inf{t0:Bt=0}\tau=\inf\{t\ge 0:B_t=0\}, we find the probability density of BuτB_{u\tau} for a u(0,1)u\in(0,1), i.e. of the Brownian motion on its way to hitting zero.

Keywords

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