Distribution of the brownian motion on its way to hitting zero

Pavel Chigansky, Fima C. Klebaner

Research output: Contribution to journalArticlepeer-review

2 Scopus citations


For the one-dimensional Brownian motion B = (Bt)t≥0, started at x > 0, and the first hitting time τ = inf(t ≥ 0: Bt = 0), we find the probability density of B for a u ∈ (0,1), i.e. of the Brownian motion on its way to hitting zero.

Original languageAmerican English
Pages (from-to)641-648
Number of pages8
JournalElectronic Communications in Probability
StatePublished - 1 Jan 2008


  • Bessel bridge
  • Brownian bridge
  • Brownian motion
  • Heavy-tailed distribution
  • Hitting time
  • Scaled Brownian excursion


Dive into the research topics of 'Distribution of the brownian motion on its way to hitting zero'. Together they form a unique fingerprint.

Cite this