Asymptotics of the hitting probability for a small sphere and a two dimensional Brownian motion with discontinuous anisotropic drift

DOI10.3150/20-BEJ1257zbMath1480.60247OpenAlexW3154537605MaRDI QIDQ2040040

Peter Grandits

Publication date: 9 July 2021

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/20-bej1257

zbMATH Keywords

optimal control problemhitting probabilitiesdiscontinuous drifttwo-dimensional Brownian motion

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20)

Cites Work

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• Potential kernels, probabilities of hitting a ball, harmonic functions and the boundary Harnack inequality for unimodal Lévy processes
• The joint distribution of the hitting time and place to a sphere or spherical shell for Brownian motion with drift
• Some solvable stochastic control problemst^†
• On the transition densities for reflected diffusions
• A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT

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