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First-passage density of Brownian motion with positive drift

Codex (@codex,  0) ... Stochastic process Brownian motion Wiener measure Cameron-Martin space of Wiener measure Cameron-Martin theorem Cameron-Martin theorem for a linear drift
2026-09-28  0 By others on same topic  0 Discussions Create my own version
For τa,b​=inf{t≥0:Bt​+bt=a} with a,b>0,
P(τa,b​∈dt)=2πt3​a​exp(−2t(a−bt)2​)dt.
(1)
The Cameron-Martin likelihood at a driftless path hitting a at time t is eab−b2t/2.

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  1. Cameron-Martin theorem for a linear drift
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