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The first passage time on the (reflected) Brownian motion with broken drift hitting a random boundary
Statistics & Probability Letters ( IF 0.8 ) Pub Date : 2021-01-09 , DOI: 10.1016/j.spl.2021.109040
Zhenwen Zhao , Yuejuan Xi

This paper studies the first passage times of a (reflected) Brownian motion with broken drift over a random boundary. The time-dependent Meyer–Tanaka formula allows us to obtain the formulas on the joint Laplace transform of the hitting time and hitting position. This paper extends the results of first rendezvous times of (reflected) Brownian motion and compound Poisson-type processes in Perry et al. (2004).



中文翻译:

(反射的)布朗运动的第一次通过时间,其中漂移漂移击中了随机边界

本文研究了(反射)布朗运动在随机边界上的漂移漂移的第一次通过时间。时间相关的Meyer–Tanaka公式使我们能够获得关于击球时间和击球位置的联合拉普拉斯变换的公式。本文扩展了Perry等人(反射)布朗运动和复合泊松型过程的首次集合时间的结果。(2004)。

更新日期:2021-01-22
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