The von Mises-Fisher distribution of the first exit point from the hypersphere of the drifted Brownian motion and the density of the first exit time

被引：4
|
作者：
Gatto, Riccardo [1 ]
机构：
[1] Univ Bern, Inst Math Stat & Actuarial Sci, CH-3012 Bern, Switzerland
来源：
STATISTICS & PROBABILITY LETTERS | 2013年 / 83卷 / 07期
关键词：
Bell polynomial; Bessel function; Directional distribution; Laplace transform; Post inversion formula;
D O I：
10.1016/j.spl.2013.03.010
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
A characterization is provided for the von Mises-Fisher random variable, in terms of first exit point from the unit hypersphere of the drifted Wiener process. Laplace transform formulae for the first exit time from the unit hypersphere of the drifted Wiener process are provided. Post representations in terms of Bell polynomials are provided for the densities of the first exit times from the circle and from the sphere. (c) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码：1669 / 1676
页数：8
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