DOI: 10.37394/23202.2026.25.52 ISSN: 1109-2777

First-Passage Time Distributions of a Brownian Motion Observed After a Random Delay

Mario Lefebvre, Ibrahim Touré

Suppose that a Brownian motion can only be observed after a random time τ . We are interested in the distribution of the time T required to record the first visit to a given threshold. The cases when τ has an exponential and an Erlang distribution are considered. A method to approximate the probability density function of T from its moments is also presented.