Abstract.
Let B 0,B 1, ⋯ ,B n be independent standard Brownian motions, starting at 0. We investigate the tail of the capture time
where 0<b i ≤ 1, 1 ≤i≤n. In particular, we have ?τ3=∞ and ?τ5<∞. Various generalizations are also studied.
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Received: 10 January 2000 / Revised version: 12 January 2001 /¶Published online: 14 June 2001
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Li, W., Shao, QM. Capture time of Brownian pursuits. Probab Theory Relat Fields 121, 30–48 (2001). https://doi.org/10.1007/PL00008796
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DOI: https://doi.org/10.1007/PL00008796