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Let τ be the first hitting time of the point 1 by the geometric Brownian motion X(t) = x exp(B(t) - 2μt) with drift μ ≥ 0 starting from x > 1. Here B(t) is the Brownian motion starting from 0 with EB²(t) = 2t. We provide an integral formula for the density function of the stopped exponential functional and determine its asymptotic behaviour at infinity. Although we basically rely on methods developed in [BGS], the present paper covers the case of arbitrary drifts μ ≥ 0 and provides a significant unification and extension of the results of the above-mentioned paper. As a corollary we provide an integral formula and give the asymptotic behaviour at infinity of the Poisson kernel for half-spaces for Brownian motion with drift in real hyperbolic spaces of arbitrary dimension.
T. Byczkowski, and M. Ryznar. "Hitting distributions of geometric Brownian motion." Studia Mathematica 173.1 (2006): 19-38. <http://eudml.org/doc/285235>.
@article{T2006, abstract = {Let τ be the first hitting time of the point 1 by the geometric Brownian motion X(t) = x exp(B(t) - 2μt) with drift μ ≥ 0 starting from x > 1. Here B(t) is the Brownian motion starting from 0 with EB²(t) = 2t. We provide an integral formula for the density function of the stopped exponential functional $A(τ) = ∫_0^τ X²(t)dt$ and determine its asymptotic behaviour at infinity. Although we basically rely on methods developed in [BGS], the present paper covers the case of arbitrary drifts μ ≥ 0 and provides a significant unification and extension of the results of the above-mentioned paper. As a corollary we provide an integral formula and give the asymptotic behaviour at infinity of the Poisson kernel for half-spaces for Brownian motion with drift in real hyperbolic spaces of arbitrary dimension.}, author = {T. Byczkowski, M. Ryznar}, journal = {Studia Mathematica}, keywords = {hyperbolic spaces; stable processes; Poisson kernel}, language = {eng}, number = {1}, pages = {19-38}, title = {Hitting distributions of geometric Brownian motion}, url = {http://eudml.org/doc/285235}, volume = {173}, year = {2006}, }
TY - JOUR AU - T. Byczkowski AU - M. Ryznar TI - Hitting distributions of geometric Brownian motion JO - Studia Mathematica PY - 2006 VL - 173 IS - 1 SP - 19 EP - 38 AB - Let τ be the first hitting time of the point 1 by the geometric Brownian motion X(t) = x exp(B(t) - 2μt) with drift μ ≥ 0 starting from x > 1. Here B(t) is the Brownian motion starting from 0 with EB²(t) = 2t. We provide an integral formula for the density function of the stopped exponential functional $A(τ) = ∫_0^τ X²(t)dt$ and determine its asymptotic behaviour at infinity. Although we basically rely on methods developed in [BGS], the present paper covers the case of arbitrary drifts μ ≥ 0 and provides a significant unification and extension of the results of the above-mentioned paper. As a corollary we provide an integral formula and give the asymptotic behaviour at infinity of the Poisson kernel for half-spaces for Brownian motion with drift in real hyperbolic spaces of arbitrary dimension. LA - eng KW - hyperbolic spaces; stable processes; Poisson kernel UR - http://eudml.org/doc/285235 ER -