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
收藏
页码：F863 / F869
页数：7
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