Supremum distribution of Bessel process of drifting Brownian motion
Probability
2015-01-15 v1
Abstract
Let (B^{(1)}_t ;B^{(2)}_t ;B^{(3)}_t + \mu t) be a three-dimensional Brownian motion with drift \mu, starting at the origin. Then X_t = ||(B^{(1)}_t ;B^{(2)}_t ;B^{(3)}_t +\mu t)||, its distance from the starting point, is a diffusion with many applications. We investigate the distribution of the supremum of (X_t), give an infinite-series formula for its density and an exact estimate by elementary functions.
Keywords
Cite
@article{arxiv.1501.03200,
title = {Supremum distribution of Bessel process of drifting Brownian motion},
author = {Andrzej Pyć and Grzegorz Serafin and Tomasz Żak},
journal= {arXiv preprint arXiv:1501.03200},
year = {2015}
}