The von Mises-Fisher distribution of the first exit point from the hypersphere of the drifted Brownian motion and the density of the first exit time

Gatto, Riccardo (2013). The von Mises-Fisher distribution of the first exit point from the hypersphere of the drifted Brownian motion and the density of the first exit time. Statistics and Probability Letters, 83(7), pp. 1669-1676. Elsevier 10.1016/j.spl.2013.03.010

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A characterization is provided for the von Mises–Fisher random variable, in terms of first exit point from the unit hypersphere of the drifted Wiener process. Laplace transform formulae for the first exit time from the unit hypersphere of the drifted Wiener process are provided. Post representations in terms of Bell polynomials are provided for the densities of the first exit times from the circle and from the sphere.

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