Brown运动的首出时末遇时与停留时

FIRST EXIT TIMES, LAST EXIT TIMES AND SOJOURN TIMES FOR BROWNIAN MOTION

给出了Ｂｒｏｗｎ运动关于球的首出时与末遇时的联合分布及首出时与停留时的联合分布。

This paper computes explicitly the joint distribution of first exit time and last exit time and the joint distribution of first exit time and sojourn time of a ball for Brownian motion. Mathematical expectation of the above three random variables is also obtained.