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On hitting times of affine boundaries by reflecting Brownian motion and Bessel processes
Reflecting Brownian motion Bessel process hitting time linear boundary
2011/1/20
Firstly, we compute the distribution function for the hitting time of a linear time-dependent boundary t 7→ a + bt, a ≥ 0, b ∈ R, by a reflecting Brownian motion.
Let T(μ)1 be the first hitting time of the point 1 by the Bessel process with index μ ∈ R
starting from x > 1.