Home | Contents | Submissions, editors, etc. | Login | Search | EJP
 Electronic Communications in Probability > Vol. 15(2010) > Paper 26 open journal systems 


On the distribution of the Brownian motion process on its way to hitting zero

Konstantin Borovkov, University of Melbourne


Abstract
We present functional versions of recent results on the univariate distributions of the process Vx,u = x + W uτ(x) , 0 ≤ u ≤ 1, where W• is the standard Brownian motion process, x > 0 and τ(x) = inf{t > 0 : Wt = -x}.


Full text: PDF

Pages: 281-285

Published on: July 8, 2010
Bibliography
  1. P. Billingsley. Convergence of Probability Measures. Wiley, New York, second edition, 1999. Math. Review 1700749
  2. A.N. Borodin, P. Salminen. Handbook of Brownian motion - facts and formulae. Birkhäuser Verlag, Basel, second edition, 2002. Math. Review 1912205
  3. K. Borovkov, A.N. Downes. On boundary crossing probabilities for diffusion processes. Stoch. Proc. Appl. 120(2): 105--129, 2010. Math. Review 2576883
  4. R.T. Durrett, D. L. Iglehart, D.R. Miller. Weak convergence to Brownian meander and Brownian excursion. Ann. Probab. 5(1):117--129, 1977. Math. Review 0436353
  5. P. Chigansky, F.C. Klebaner. Distribution of the Brownian motion on its way to hitting zero. Electr. Comm. Probab. 13:641--648, 2008. MR Math. Review 2466191
















Research
Support Tool
Capture Cite
View Metadata
Printer Friendly
Context
Author Address
Action
Email Author
Email Others


Home | Contents | Submissions, editors, etc. | Login | Search | EJP

Electronic Communications in Probability. ISSN: 1083-589X