Density of space-time distribution of Brownian first hitting of a disc and a ball (Q283379)

Let \(B\) be a \(d\)-dimensional Brownian motion starting at \(|x|>r\) and denote by \(B(r,0)\) the open ball of radius \(r\) and centre \(0\), by \(\partial B(r,0)\) its boundary and by \(D := \overline{B(r,0)}^c \times (0,\infty)\). The author studies the asymptotic behaviour of the space-time distribution \(H(x;dt,dy)\) of the first hitting time and site of the space-time cylinder \(\overline{B(r,0)}\times (0,\infty)\). Note that for a bounded continuous function \(\phi(y,t)\) on \(D\) the solution of the initial value problem \(\frac 12 \Delta_x u(x,t) - \partial_t u(x,t)=0\) on \(D\), \(u = \phi\) on \(\partial D\) and \(u(x,0)=0\) if \(|x|>r\) has the representation \[ u(x,t) = \int_0^t\int_{|y|=r} \phi(y,t-s)\,H(x;ds,dy). \] It is known that \(H(x;ds,dy)\) has a smooth density \(h(x;s,y)\) which can be factored as product of the density \(q_r(x,t)\) of the hitting time \(\sigma_r\) of \(\partial B(r,0)\) and the hitting site distribution \(\mathbb P(B_t\in dy \mid \sigma_r = t)\) conditioned on \(\sigma_r=t\). While the hitting time density is well studied (see, e.g., [the author, Trans. Am. Math. Soc. 367, No. 4, 2719--2742 (2015; Zbl 1330.60100)] (the results are summarized in the present paper)), the asymptotic behaviour of the (conditioned) hitting site distribution is not known. In the present paper, the author shows that in dimension \(d\geq 3\) one has uniformly for \(y\in\partial B(r,0)\) \[ \frac{\mathbb P_{|x|e}(B_t\in dy\mid \sigma_r = t)}{m_r(dy)} = 1 +O(|x|/t)\quad\text{as}\quad |x|/t\to 0,\; t\to\infty; \] (\(e=(1,0,\dots, 0)\) is the unit vector in \(\mathbb R^d\) pointing to the north pole, and \(m_r(dy)\) is the Haar probability measure on the sphere \(\partial B(r,0)\)). A corresponding result for the law of the argument of \(B_t\) is shown in dimension \(d=2\). If \(|x|/t \to v\) and \(t\to\infty\), the above limit is identified as a series of fractions of Bessel functions (of the second kind) of the form \[ \sum_{n=0}^\infty \frac{K_{d/2-1}(rv)}{K_{d/2 - 1 + n}(rv)} H_n(\theta), \] where \(H_n(\theta)\) is explicitly given in terms of Gegenbauer polynomials (if \(d\geq 3\)) or as cosine (if \(d=2\)). Finally, the case where \(|x|/t\to\infty\), \(t\to\infty\) is treated.