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arxiv: 1501.03200 · v1 · pith:K6WLVEZ2new · submitted 2015-01-13 · 🧮 math.PR

Supremum distribution of Bessel process of drifting Brownian motion

classification 🧮 math.PR
keywords browniandistributionmotionstartingsupremumapplicationsbesseldensity
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Let (B^{(1)}_t ;B^{(2)}_t ;B^{(3)}_t + \mu t) be a three-dimensional Brownian motion with drift \mu, starting at the origin. Then X_t = ||(B^{(1)}_t ;B^{(2)}_t ;B^{(3)}_t +\mu t)||, its distance from the starting point, is a diffusion with many applications. We investigate the distribution of the supremum of (X_t), give an infinite-series formula for its density and an exact estimate by elementary functions.

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