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Start Over Author "Kearney, Michael J." Topic brownian motion
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1. On correlations between certain random variables associated with first passage Brownian motion.

Author

Kearney, Michael J, Pye, Andrew J, and Martin, Richard J

Subjects
*STATISTICAL correlation, *BROWNIAN motion, *MULTIVARIATE analysis, *COMPUTER simulation, *MATHEMATICAL statistics
Abstract

We analyse how the area swept out by a Brownian motion up to its first passage time correlates with the first passage time itself, obtaining several exact results in the process. Additionally, we analyse the relationship between the time average of a Brownian motion during a first passage and the maximum value attained. The results, which find various applications, are in excellent agreement with simulations. [ABSTRACT FROM AUTHOR]

Published
2014
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