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Joint density of hitting time and point to an ellipse for Brownian motion

Joint density of hitting time and point to an ellipse for Brownian motion
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摘要 IT is well known that the distribution of hitting time, hitting point, last exiting time, and lastexiting point for Brownian motion to balls has been extensively studied. A similar investi-gation of rectangles or cubes has also been well done. However, analogous questions for Brow-nian motion to ellipsoid are rarely concerned. Bai and Cai obtained the distribution of
出处 《Chinese Science Bulletin》 SCIE EI CAS 1997年第24期2054-2058,共5页
关键词 BROWNIAN motion hitting time hitting POINT ellipse. Brownian motion, hitting time, hitting point, ellipse.
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