On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes

Paavo Salminen; Marc Yor

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arXiv · 1012.2038

On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes

Paavo Salminen·Marc Yor

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Abstract

Firstly, we compute the distribution function for the hitting time of a linear time-dependent boundary $t\mapsto a+bt,\ a\geq 0,\,b\in \R,$ by a reflecting Brownian motion. The main tool hereby is Doob's formula which gives the probability that Brownian motion started inside a wedge does not hit this wedge. Other key ingredients are the time inversion property of Brownian motion and the time reversal property of diffusion bridges. Secondly, this methodology can also be applied for the three dimensional Bessel process. Thirdly, we consider Bessel bridges from 0 to 0 with dimension parameter $\delta>0$ and show that the probability that such a Bessel bridge crosses an affine boundary is equal to the probability that this Bessel bridge stays below some fixed value.

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BibTeX RIS

Paavo Salminen, Marc Yor. 2010-12-09. On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes. https://arxiv.org/abs/1012.2038

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