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First hitting time of Brownian motion on simple graph with skew semiaxes

Dassios, Angelos and Zhang, Junyi (2021) First hitting time of Brownian motion on simple graph with skew semiaxes. Methodology and Computing in Applied Probability. ISSN 1387-5841 (In Press)

[img] Text (Dassios and Zhang_Revision) - Accepted Version
Pending embargo until 1 January 2100.

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Abstract

Consider a stochastic process that lives on n-semiaxes emanating from a common origin. On each semiaxis it behaves as a Brownian motion and at the origin it chooses a semiaxis randomly. In this paper we study the first hitting time of the process. We derive the Laplace transform of the first hitting time, and provide the explicit expressions for its density and distribution functions. Numerical examples are presented to illustrate the application of our results.

Item Type: Article
Official URL: https://www.springer.com/journal/11009
Additional Information: © 2021, The Author(s)
Divisions: Statistics
Subjects: H Social Sciences > HA Statistics
Date Deposited: 13 Jul 2021 15:54
Last Modified: 14 Sep 2021 23:15
URI: http://eprints.lse.ac.uk/id/eprint/111021

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