On the excursions of drifted Brownian motion and the successive passage times of Brownian motion

被引：3

作者：

Abundo, Mario ^{[1
]}

机构：

[1] Univ Roma Tor Vergata, Dipartimento Matemat, Via Ric Sci, I-00133 Rome, Italy

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2016年 / 457卷

关键词：

First-passage time; Second-passage time; Brownian motion; BOUNDARY;

D O I：

10.1016/j.physa.2016.03.052

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

By using the law of the excursions of Brownian motion with drift, we find the distribution of the nth 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 space time transformation of Brownian motion. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：176 / 182

页数：7

共 14 条

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