Brownian motion, exit times and stochastic Riemannian geometry (Q800007): Difference between revisions
From MaRDI portal
Created a new Item |
Created claim: Wikidata QID (P12): Q115363203, #quickstatements; #temporary_batch_1704600589780 |
||
Property / Wikidata QID | |||
Property / Wikidata QID: Q115363203 / rank | |||
Normal rank |
Revision as of 06:11, 7 January 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Brownian motion, exit times and stochastic Riemannian geometry |
scientific article |
Statements
Brownian motion, exit times and stochastic Riemannian geometry (English)
0 references
1984
0 references
Consider Brownian motion on an n-dimensional Riemannian manifold M, started at a point m. Let T denote the first exit time from a ball of radius \(\epsilon\), centred at m. Asymptotic expansions for the moments E[T] and \(E[T^ 2]\) are given in terms of the even powers of \(\epsilon\), as far as powers six and eight respectively. The derivation of these results uses the perturbation theory of the Laplacian. An interesting geometric consequence is that if E[T] is the same as for the Euclidean case \((M=R^ n)\), then M is flat, provided that \(n\leq 5\), or M has nonnegative (or nonpositive) Ricci curvature, or M is Einstein.
0 references
stochastic differential geometry
0 references
Brownian motion
0 references
Riemannian manifold
0 references
first exit time
0 references
Asymptotic expansions
0 references
moments
0 references
Laplacian
0 references
Ricci curvature
0 references
Einstein
0 references