Distribution of the Brownian motion on its way to hitting zero
Chigansky, P. · Klebaner, F. C.
Original · EN
For the one-dimensional Brownian motion B=(Bₜ)ₜ≥ ₀, started at x>0, and the first hitting time τ={t≥ 0:Bₜ=0}, we find the probability density of Bᵤτ for a u∈(0,1), i.e. of the Brownian motion on its way to hitting zero.
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