First Hitting Time of Curvilinear Boundary by Wiener Process
نویسندگان
چکیده
منابع مشابه
First Hitting Time of the Boundary of the Weyl Chamber by Radial Dunkl Processes
Abstract. We provide two equivalent approaches for computing the tail distribution of the first hitting time of the boundary of the Weyl chamber by a radial Dunkl process. The first approach is based on a spectral problem with initial value. The second one expresses the tail distribution by means of the W -invariant Dunkl–Hermite polynomials. Illustrative examples are given by the irreducible r...
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ژورنال
عنوان ژورنال: The Annals of Probability
سال: 1982
ISSN: 0091-1798
DOI: 10.1214/aop/1176993723