On the Time for Brownian Motion to Visit Every Point on a Circle
Probability
2016-05-12 v2
Abstract
Consider a Wiener process on a circle of circumference . We prove the rather surprising result that the Laplace transform of the distribution of the first time, , when the Wiener process has visited every point of the circle can be solved in closed form using a continuous recurrence approach.
Keywords
Cite
@article{arxiv.1312.4632,
title = {On the Time for Brownian Motion to Visit Every Point on a Circle},
author = {Philip Ernst and Larry Shepp},
journal= {arXiv preprint arXiv:1312.4632},
year = {2016}
}
Comments
8 pages, 1 figure