A NOTE ON PLANAR BROWNIAN-MOTION

被引：6

作者：

BRASSESCO, S

机构：

来源：

ANNALS OF PROBABILITY | 1992年 / 20卷 / 03期

关键词：

PLANAR BROWNIAN MOTION; HITTING TIME OF AN ANGULAR BARRIER; REFLECTION PRINCIPLE;

D O I：

10.1214/aop/1176989703

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The joint density of the total winding and the radius of a planar Brownian motion is calculated, by solving the associated backward equation. An explicit expression for the distribution of the hitting time of an angular barrier is shown; in particular, the behavior of the tail of the distribution is determined.

引用

页码：1498 / 1503

页数：6

共 9 条

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[6]

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[7]

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