Density of space-time distribution of Brownian first hitting of a disc and a ball

DOI10.1007/s11118-015-9516-zzbMath1361.60073arXiv1404.4745OpenAlexW3105992644MaRDI QIDQ283379

Kôhei Uchiyama

Publication date: 13 May 2016

Published in: Potential Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.4745

zbMATH Keywords

Bessel processBrownian motionstochastic differential equationshitting timeexit problemcaloric measurespace-time process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60) Probabilistic potential theory (60J45)

Related Items (6)

Feeling boundary by Brownian motion in a ball ⋮ One dimensional random walks killed on a finite set ⋮ The transition density of Brownian motion killed on a bounded set ⋮ The potential function and ladder heights of a recurrent random walk on \(\mathbb{Z}\) with infinite variance ⋮ Laplace Dirichlet heat kernels in convex domains ⋮ Asymptotic behaviour of the Bessel heat kernels

Cites Work

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• Asymptotic estimates of the distribution of Brownian hitting time of a disc
• The expected area of the Wiener sausage swept by a disc
• Hitting times of Bessel processes
• The probability densities of the first hitting times of Bessel processes
• The Brownian hitting distributions in space-time of bounded sets and the expected volume of the Wiener sausage for a Brownian bridge
• Asymptotics of the densities of the first passage time distributions for Bessel diffusions

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