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arXiv · 1501.03200

Supremum distribution of Bessel process of drifting Brownian motion

Andrzej Pyć·Grzegorz Serafin·Tomasz Żak
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Abstract

Let (B^{(1)}_t ;B^{(2)}_t ;B^{(3)}_t + μt) be a three-dimensional Brownian motion with drift μ, starting at the origin. Then X_t = ||(B^{(1)}_t ;B^{(2)}_t ;B^{(3)}_t +μt)||, its distance from the starting point, is a diffusion with many applications. We investigate the distribution of the supremum of (X_t), give an infinite-series formula for its density and an exact estimate by elementary functions.

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Andrzej Pyć, Grzegorz Serafin, Tomasz Żak. 2015-01-13. Supremum distribution of Bessel process of drifting Brownian motion. https://arxiv.org/abs/1501.03200

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