English

On Schroedinger's equation, 3-dimensional bessel bridges, and passage time problems

Probability 2009-05-14 v1 Analysis of PDEs

Abstract

We obtain explicit solutions for the density φT\varphi_T of the first-time TT that a one-dimensional Brownian process BB reaches the twice, continuously differentiable moving boundary ff and such that f(t)0f''(t)\geq 0 for all tR+t\in \mathbb{R}^+. We do so by finding the expected value of some functionals of a 3-dimensional Bessel bridge X~\tilde{X} and exploiting its relationship with first-passage time problems as pointed out by Kardaras (2007). It turns out that this problem is related to Schr\"odinger's equation with time-dependent linear potential, see Feng (2001).

Keywords

Cite

@article{arxiv.0905.1971,
  title  = {On Schroedinger's equation, 3-dimensional bessel bridges, and passage time problems},
  author = {Gerardo Hernandez-del-Valle},
  journal= {arXiv preprint arXiv:0905.1971},
  year   = {2009}
}
R2 v1 2026-06-21T13:01:29.010Z