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Vol. 50 No. 2 (2024)
Serdica Mathematical Journal

Articles

Some limits for the Laplace transform of the Brownian motion's first hit to a linear function

https://doi.org/10.55630/serdica.2024.50.183-202

Published 13-08-2024

  • Tsvetelin Zaevski

Tsvetelin Zaevski
Institute of Mathematics and Informatics, Bulgarian Academy of Science

Abstract

The aim of this short note is to examine some limits related to the Laplace transform of the Brownian motion before its first hit to a linear boundary.

2020 Mathematics Subject Classification:

42A38, 60G40, 60J65

Keywords

Brownian motion, stopping times, first hitting, Laplace transform

Full text

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