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 of the first-time that a one-dimensional Brownian process reaches the twice, continuously differentiable moving boundary and such that for all . We do so by finding the expected value of some functionals of a 3-dimensional Bessel bridge 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}
}