An asymptotic estimate for the hitting time of a half-line by two-dimensional Brownian motion
Isozaki, Yasuki
J. Math. Kyoto Univ., Tome 49 (2009) no. 1, p. 603-617 / Harvested from Project Euclid
Text on Project Euclid
PDF
Alt PDF
The joint law of the first hitting time of a half-line, the first hitting place, and some local time for the two-dimensional Brownian motion is studied. The method is based on the continuous-time version of the fluctuation identity (the Wiener-Hopf decomposition) in two dimension.
Publié le : 2009-05-15
Classification:  60J65,  60G51 
@article{1260975041,
     author = {Isozaki, Yasuki},
     title = {An asymptotic estimate for the hitting time of a half-line by two-dimensional Brownian motion},
     journal = {J. Math. Kyoto Univ.},
     volume = {49},
     number = {1},
     year = {2009},
     pages = { 603-617},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1260975041}
}

Isozaki, Yasuki. An asymptotic estimate for the hitting time of a half-line by two-dimensional Brownian motion. J. Math. Kyoto Univ., Tome 49 (2009) no. 1, pp.  603-617. http://gdmltest.u-ga.fr/item/1260975041/