The first rendezvous time of Brownian motion and compound Poisson-type processes

D. Perry, W. Stadje, S. Zacks

Research output: Contribution to journalArticlepeer-review

Abstract

The 'rendezvous time' of two stochastic processes is the first time at which they cross or hit each other. We consider such times for a Brownian motion with drift, starting at some positive level, and a compound Poisson process or a process with one random jump at some random time. We also ask whether a rendezvous takes place before the Brownian motion hits zero and, if so, at what time. These questions are answered in terms of Laplace transforms for the underlying distributions. The analogous problem for reflected Brownian motion is also studied.

Original languageEnglish
Pages (from-to)1059-1070
Number of pages12
JournalJournal of Applied Probability
Volume41
Issue number4
DOIs
StatePublished - Dec 2004

Keywords

  • Brownian motion
  • Compound poisson process
  • Emptiness
  • Laplace transform
  • Overflow
  • Rendezvous time

ASJC Scopus subject areas

  • Statistics and Probability
  • General Mathematics
  • Statistics, Probability and Uncertainty

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