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Distribution of the Brownian motion on its way to hitting zero

Abstract

For the one-dimensional Brownian motion B=(Bt)t0B=(B_t)_{t\ge 0}, started at x>0x>0, and the first hitting time τ=inf{t0:Bt=0}\tau=\inf\{t\ge 0:B_t=0\}, we find the probability density of BuτB_{u\tau} for a u(0,1)u\in(0,1), i.e. of the Brownian motion on its way to hitting zero.

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