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Studia Mathematica
Article
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Studia Mathematica
Article . 2006 . Peer-reviewed
Data sources: Crossref
https://dx.doi.org/10.48550/ar...
Article . 2005
License: arXiv Non-Exclusive Distribution
Data sources: Datacite
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Hitting distributions of geometric Brownian motion

Authors: Tomasz Byczkowski; M. Ryznar;

Hitting distributions of geometric Brownian motion

Abstract

Let $��$ be the first hitting time of the point 1 by the geometric Brownian motion $X(t)= x \exp(B(t)-2��t)$ with drift $��\geq 0$ starting from $x>1$. Here $B(t)$ is the Brownian motion starting from 0 with $E^0 B^2(t) = 2t$. We provide an integral formula for the density function of the stopped exponential functional $A(��)=\int_0^��X^2(t) dt$ and determine its asymptotic behaviour at infinity. Although we basically rely on methods developed in \cite{BGS}, the present paper also covers the case of arbitrary drifts $��\geq 0$ and provides a significant unification and extension of results of the above-mentioned paper. As a corollary we provide an integral formula and give asymptotic behaviour at infinity of the Poisson kernel for half-spaces for Brownian motion with drift in real hyperbolic spaces of arbitrary dimension.

18 pages

Keywords

60J65; 60J60, Probability (math.PR), FOS: Mathematics, 60J65, Mathematics - Probability, 60J60

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citations
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
20
Average
Top 10%
Average
Green
bronze