On the area under a continuous time Brownian motion till its first-passage time
نویسندگان
چکیده
منابع مشابه
On the area under a continuous time Brownian motion till its first-passage time
The area swept out under a one-dimensional Brownian motion till its first-passage time is analysed using a Fokker-Planck technique. We obtain an exact expression for the area distribution for the zero drift case, and provide various asymptotic results for the non-zero drift case, emphasising the critical nature of the behaviour in the limit of vanishing drift. The results offer important insigh...
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ژورنال
عنوان ژورنال: Journal of Physics A: Mathematical and General
سال: 2005
ISSN: 0305-4470,1361-6447
DOI: 10.1088/0305-4470/38/19/004