Hitting distributions of geometric Brownian motion

T. Byczkowski, M. Ryznar

Published 2005-03-03Version 1

Let $\tau$ be the first hitting time of the point 1 by the geometric Brownian motion $X(t)= x \exp(B(t)-2\mu t)$ with drift $\mu \geq 0$ starting from $x>1$. Here $B(t)$ is the Brownian motion starting from 0 with $E^0 B^2(t) = 2t$. We provide an integral formula for the density function of the stopped exponential functional $A(\tau)=\int_0^\tau X^2(t) dt$ and determine its asymptotic behaviour at infinity. Although we basically rely on methods developed in \cite{BGS}, the present paper also covers the case of arbitrary drifts $\mu \geq 0$ and provides a significant unification and extension of results of the above-mentioned paper. As a corollary we provide an integral formula and give asymptotic behaviour at infinity of the Poisson kernel for half-spaces for Brownian motion with drift in real hyperbolic spaces of arbitrary dimension.