Joint distributions of the hitting time and place for Brownian motion with drift

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Gongcheng Shuxue Xuebao | / 4卷 / 123-126期

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Let Xc(t) be a Brownian motion with drift in Rd(d>=2). and let Tc be the hitting time for a sphere or a concentric spherical shell. The Laplace-Gegenbauer transform and joint density for Tc and Xc(Tc) are obtained.

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