Large Time Asymptotics for Brownian Hitting Densities of Transient Concave Curves |
| |
Authors: | J. M. Anderson Loren D. Pitt |
| |
Abstract: | With appropriate regularity assumptions on the increasing concave function x=(t)<0, the hitting time density p(t) for a transient curve x=(t) by a 1-dimensional Brownian motion is shown to satisfy Here r is the probability of eventually hitting the curve and (t)=t–1/2(t). |
| |
Keywords: | Brownian motion hitting density |
本文献已被 SpringerLink 等数据库收录! |