Related papers: First Passage Time of Skew Brownian Motion
In this paper, we consider two skew Brownian motions, driven by the same Brownian motion, with different starting points and different skewness coefficients. We show that we can describe the evolution of the distance between the two…
In this paper we present a computation of the mean first-passage times both for a random walk in a discrete bounded lattice, between a starting site and a target site, and for a Brownian motion in a bounded domain, where the target is a…
This article is devoted to the construction of a solution for the "skew inhomogeneous Brownian motion" equation, which first appear in a seminal paper by Sophie Weinryb (1983). We investigate some laws related to the constructed process. In…
For drifted Brownian motion $X(t)= x - \mu t + B_t \ (\mu >0)$ starting from $x>0,$ we study the joint distribution of the first-passage time below zero, $\tau(x),$ and the first-passage area, $A(x),$ swept out by $X$ till the time…
An exact expression for the distribution of the area swept out by a drifted Brownian motion till its first-passage time is derived. A study of the asymptotic behaviour confirms earlier conjectures and clarifies their range of validity. The…
The distribution of the first-passage time (FPT)$T_a$ for a Brownian particle with drift $\mu$ subject to hitting an absorber at a level $a>0$ is well-known and given by its density $\gamma(t) = \frac{a}{\sqrt{2 \pi t^3} } e^{-\frac{(a-\mu…
Let $W$ be a standard Brownian motion with $W_0 = 0$ and let $b: \mathbb{R}_+ \to \mathbb{R}$ be a continuous function with $b(0) > 0$. The first passage time (from below) is then defined as \begin{align*} \tau := \inf \{ t \geq 0 \vert W_t…
We derive the moments of the first passage time for Brownian motion conditioned by either the maximum value or the area swept out by the motion. These quantities are the natural counterparts to the moments of the maximum value and area of…
Under some weak conditions, the first-passage time of the Brownian motion to a continuous curved boundary is an almost surely finite stopping time. Its probability density function (pdf) is explicitly known only in few particular cases.…
By using the law of the excursions of Brownian motion with drift, we find the distribution of the $n-$th passage time of Brownian motion through a straight line $S(t)= a + bt.$ In the special case when $b = 0,$ we extend the result to a…
In this article we study a problem related to the first passage and inverse first passage time problems for Brownian motions originally formulated by Jackson, Kreinin and Zhang (2009). Specifically, define $\tau_X = \inf\{t>0:W_t + X \le…
We present a novel computational method of first-passage times between a starting site and a target site of regular bounded lattices. We derive accurate expressions for all the moments of this first-passage time, validated by numerical…
In this paper, a class of statistics based on high frequency observations of oscillating and skew Brownian motion is considered. Their convergence rate towards the local time of the underlying process is obtained in form of a functional…
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…
The first-passage-time problem for a Brownian motion with alternating infinitesimal moments through a constant boundary is considered under the assumption that the time intervals between consecutive changes of these moments are described by…
We study first-passage statistics for one-dimensional random walks $S_n$ with independent and identically distributed jumps starting from the origin. We focus on the joint distribution of the first-passage time $\tau_b$ and first-passage…
An open problem of interest, first infused into the applied probability community in the work of Bingham and Doney in 1988, (see \cite{Bingham}) is stated as follows: find the distribution of the quadrant occupation time of planar Brownian…
This note concerns distributions of Skew Brownian motion with dry friction and its occupation time. These distributions were obtained in [2] by using the Laplace transform and joint characteristic functions. We provide an alternative…
First passage time plays a fundamental role in dynamical characterization of stochastic processes. Crucially, our current understanding on the problem is almost entirely relies on the theoretical formulations, which assume the processes…
We consider a one-dimensional Brownian motion of fixed duration $T$. Using a path-integral technique, we compute exactly the probability distribution of the difference $\tau=t_{\min}-t_{\max}$ between the time $t_{\min}$ of the global…