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2008 Distribution of the Brownian motion on its way to hitting zero
Pavel Chigansky, Fima Klebaner
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Electron. Commun. Probab. 13: 641-648 (2008). DOI: 10.1214/ECP.v13-1432

Abstract

For the one-dimensional Brownian motion $B=(B_t)_{t\geq 0}$, started at $x<0$, and the first hitting time $\tau=\inf\{t\geq 0:B_t=0\}$, we find the probability density of $B_{u\tau}$ for a $u\in$, i.e. of the Brownian motion on its way to hitting zero.

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Pavel Chigansky. Fima Klebaner. "Distribution of the Brownian motion on its way to hitting zero." Electron. Commun. Probab. 13 641 - 648, 2008. https://doi.org/10.1214/ECP.v13-1432

Information

Accepted: 17 December 2008; Published: 2008
First available in Project Euclid: 6 June 2016

zbMATH: 1189.60146
MathSciNet: MR2466191
Digital Object Identifier: 10.1214/ECP.v13-1432

Subjects:
Primary: 60J65

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