论文信息 - On the Time for Brownian Motion to Visit Every Point on a Circle

On the Time for Brownian Motion to Visit Every Point on a Circle

Consider a Wiener process $W$ on a circle of circumference $L$. We prove the rather surprising result that the Laplace transform of the distribution of the first time, $\theta_L$, when the Wiener process has visited every point of the circle can be solved in closed form using a continuous recurrence approach.

Philip A. Ernst | Larry Shepp | Philip Ernst | L. Shepp

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