| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7547489 | Journal of Statistical Planning and Inference | 2016 | 5 Pages |
Abstract
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, θL, when the Wiener process has visited every point of the circle can be solved in closed form using a continuous recurrence approach.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Philip Ernst, Larry Shepp,