On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes |
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Authors: | Paavo Salminen Marc Yor |
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Institution: | 1.Mathematical Department,?bo Akademi University,?bo,Finland;2.Laboratoire de Probabilités et Modèles aléatoires,Université Pierre et Marie Curie,Paris Cedex 05,France |
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Abstract: | Firstly, we compute the distribution function for the hitting time of a linear time-dependent boundary t ↦ a + bt, a ≥ 0, b ∈ ℝ, by a reflecting Brownian motion. The main tool hereby is Doob’s formula which gives the probability that Brownian motion
started inside a wedge does not hit this wedge. Other key ingredients are the time inversion property of Brownian motion and
the time reversal property of diffusion bridges. Secondly, this methodology can also be applied for the three-dimensional
Bessel process. Thirdly, we consider Bessel bridges from 0 to 0 with dimension parameter δ > 0 and show that the probability that such a Bessel bridge crosses an affine boundary is equal to the probability that this
Bessel bridge stays below some fixed value. |
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