For drifted Brownian motion X(t) = x-µ t + B t (µ > 0) starting from x > 0, we study the joint distribution of the first-passage time below zero ,t(x), and the first-passage area ,A(x), swept out by X till the time t(x). In particular, we establish differential equations with boundary conditions for the joint moments E[t(x) m A(x) n ], and we present an algorithm to find recursively them, for any m and n. Finally, the expected value of the time average of X till the time t(x) is obtained.
Methodology and Computing in Applied Probability – Springer Journals
Published: Jan 25, 2017
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