The first passage time on the (reflected) Brownian motion with broken drift hitting a random boundary
Probability
2020-10-14 v1
Abstract
In this paper we consider a (reflected) Brownian motion with broken drift hitting a random boundary. Some dedicated calculations allow us to obtain the formula on the joint Laplace transform of the hitting time and hitting position. These develop the research on first rendezvous times of (reflected) Brownian motion and compound Poisson-type processes by Perry et al. (2004).
Keywords
Cite
@article{arxiv.2010.06397,
title = {The first passage time on the (reflected) Brownian motion with broken drift hitting a random boundary},
author = {Zhenwen Zhao and Yuejuan Xi},
journal= {arXiv preprint arXiv:2010.06397},
year = {2020}
}