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math.PR2020
The first passage time on the (reflected) Brownian motion with broken drift hitting a random boundary
Zhenwen Zhao, Yuejuan Xi
In this paper we consider a (reflected) Brownian motion with broken drift hitting a random boundary. Some dedicated calculations allow us to obtain the formula on the joint Laplace…
math.PR2020
Local time of infinite time horizon Brownian bridge
Yaozhong Hu, Yuejuan Xi
We introduce an infinite time horizon Brownian bridge which is determined by a stochastic Langevin equation with time dependent drift coefficient. We show that this process goes to…