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.

Details

Title
First Hitting Time of Brownian Motion on Simple Graph with Skew Semiaxes
Author
Dassios, Angelos 1 ; Zhang, Junyi 1   VIAFID ORCID Logo 

1  London School of Economics, London, UK (GRID:grid.13063.37) (ISNI:0000 0001 0789 5319) 
Pages
1805-1831
Publication year
2022
Publication date
Sep 2022
Publisher
Springer Nature B.V.
ISSN
13875841
e-ISSN
15737713
Source type
Scholarly Journal
Language of publication
English
DOI
https://doi.org/10.1007/s11009-021-09884-4
ProQuest document ID
2694117273
Copyright
© The Author(s) 2021. This work is published under http://creativecommons.org/licenses/by/4.0/ (the “License”). Notwithstanding the ProQuest Terms and Conditions, you may use this content in accordance with the terms of the License.