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arxiv: 0704.0215 · v1 · pith:ZGA7BDUKnew · submitted 2007-04-02 · 🧮 math.PR

The exact asymptotic of the collision time tail distribution for independent Brownian particles with different drifts

classification 🧮 math.PR
keywords driftsalphabrowniancollisionexactgammaindependenttime
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In this note we consider the time of the collision $\tau$ for $n$ independent Brownian motions $X^1_t,...,X_t^n$ with drifts $a_1,...,a_n$, each starting from $x=(x_1,...,x_n)$, where $x_1<...<x_n$. We show the exact asymptotics of $P_x(\tau>t) = C h(x)t^{-\alpha}e^{-\gamma t}(1 + o(1))$ as $t\to\infty$ and identify $C,h(x),\alpha,\gamma$ in terms of the drifts.

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