On the time for Brownian motion to visit every point on a circle
File(s)
Published version
Author(s)
Ernst, Philip
Shepp, Larry
Type
Journal Article
Abstract
Consider a Wiener process on a circle of circumference . We prove the rather surprising result that the Laplace transform of the distribution of the first time, , when the Wiener process has visited every point of the circle can be solved in closed form using a continuous recurrence approach.
Date Issued
2016-04
Date Acceptance
2015-10-21
Citation
Journal of Statistical Planning and Inference, 2016, 171, pp.130-134
ISSN
0378-3758
Publisher
Elsevier BV
Start Page
130
End Page
134
Journal / Book Title
Journal of Statistical Planning and Inference
Volume
171
Copyright Statement
© 2015 The Authors. Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/
licenses/by-nc-nd/4.0/).
licenses/by-nc-nd/4.0/).
Identifier
https://www.sciencedirect.com/science/article/pii/S0378375815001949?via%3Dihub
Subjects
Statistics & Probability
0104 Statistics
Publication Status
Published