The first-passage area for drifted Brownian motion and the moments of the Airy distribution

被引：30

作者：

Kearney, Michael J. ^{[1
]}

Majumdar, Satya N.

Martin, Richard J.

机构：

[1] Univ Surrey, Fac Engn & Phys Sci, Surrey GU2 7XH, England

[2] Univ Paris 11, Lab Phys Theor & Modeles Stat, F-91405 Orsay, France

[3] Quantitat Credit Strategy Grp, London E14 4QJ, England

来源：

JOURNAL OF PHYSICS A-MATHEMATICAL AND THEORETICAL | 2007年 / 40卷 / 36期

关键词：

D O I：

10.1088/1751-8113/40/36/F03

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

An exact expression for the distribution of the area swept out by a drifted Brownian motion till its first-passage time is derived. A study of the asymptotic behaviour confirms earlier conjectures and clarifies their range of validity. The analysis leads to a simple closed-form solution for the moments of the Airy distribution.

引用

页码：F863 / F869

页数：7

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