The first-passage area for drifted Brownian motion and the moments of the Airy distribution

Abstract

An exact expression for the distribution of the area swept out by a drifted Brownian motion till its first-passage time is derived. A study of the asymptotic behaviour confirms earlier conjectures and clarifies their range of validity. The analysis also leads to a simple closed-form solution for the moments of the Airy distribution.

13 pages

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