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July, 1992 A Note on Planar Brownian Motion
Stella Brassesco
Ann. Probab. 20(3): 1498-1503 (July, 1992). DOI: 10.1214/aop/1176989703

Abstract

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.

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Stella Brassesco. "A Note on Planar Brownian Motion." Ann. Probab. 20 (3) 1498 - 1503, July, 1992. https://doi.org/10.1214/aop/1176989703

Information

Published: July, 1992
First available in Project Euclid: 19 April 2007

zbMATH: 0758.60083
MathSciNet: MR1175274
Digital Object Identifier: 10.1214/aop/1176989703

Subjects:
Primary: 60J65
Secondary: 35K05 , 58G32 , 60F05 , 60J35

Keywords: hitting time of an angular barrier , Planar Brownian motion , reflection principle

Rights: Copyright © 1992 Institute of Mathematical Statistics

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Vol.20 • No. 3 • July, 1992
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