The exit distribution for iterated Brownian motion in cones (Q2576956): Difference between revisions

Iterated Brownian motion (IBM), as introduced by \textit{K. Burdzy} [in: Seminar on stochastic processes. Prog. Probab. 33, 67--87 (1993; Zbl 0789.60060)], has many properties analogous to those of usual Brownian motion. The paper considers the behavior of IBM in a cone, obtaining information about the chance of the exit place having large magnitude. Along the way of the proof, the joint distribution of the exit time and exit place of a Brownian motion in a cone is determined. Information on large values of the exit place for Brownian motion is derived. An exact limit is provided which was previously not identified.