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First-passage density of Brownian motion with positive drift
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)
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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
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For
τ
a
,
b
=
in
f
{
t
≥
0
:
B
t
+
b
t
=
a
}
with
a
,
b
>
0
,
P
(
τ
a
,
b
∈
d
t
)
=
2
π
t
3
a
exp
(
−
2
t
(
a
−
b
t
)
2
)
d
t
.
(1)
The Cameron-Martin likelihood at
a
driftless path hitting
a
at
time
t
is
e
ab
−
b
2
t
/2
.
Ancestors
(11)
Cameron-Martin theorem for a linear drift
Cameron-Martin theorem
Cameron-Martin space of Wiener measure
Wiener measure
Brownian motion
Stochastic process
Probability theory
Probability and statistics
Area of mathematics
Mathematics
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