On the conditional expectation of the first exit time of Brownian motion

DOI10.1216/RMJ-2009-39-2-563zbMATH Open1167.60021MaRDI QIDQ1024952FDOQ1024952

Authors: Majid Hosseini 

Publication date: 18 June 2009

Published in: Rocky Mountain Journal of Mathematics (Search for Journal in Brave)

Recommendations

• On first exit times and their means for Brownian bridges
• The first exit time of one-dimensional Brownian motion
• The first exit time of a Brownian motion from an unbounded convex domain
• Some explicit distributions related to the first exit time from a bounded interval for certain functionals of Brownian motion
• First exit time from a bounded interval for a certain class of additive functionals of Brownian motion
• On the first exit time of geometric Brownian motion from stochastic exponential boundaries
• scientific article; zbMATH DE number 6129127
• scientific article; zbMATH DE number 3911425
• scientific article; zbMATH DE number 1004262

Mathematics Subject Classification ID

Brownian motion (60J65)

Cites Work

• Title not available (Why is that?)
• Heat kernel, eigenfunctions, and conditioned Brownian motion in planar domains
• Title not available (Why is that?)
• Comparison theorems for exit times
• The first exit time of planar Brownian motion from the interior of a parabola
• The first exit time of a Brownian motion from an unbounded convex domain
• The first exit time of Brownian motion form a parabolic domain
• On the convergence of diffusion processes conditioned to remain in a bounded region for large time to limiting positive recurrent diffusion processes
• Brownian motion in cones
• On the spectral gap for fixed membranes
• Brownian motion in twisted domains
• Rearrangement inequalities with application to ratios of heat kernels
• Sharp inequalities for heat kernels of Schrödinger operators and applications to spectral gaps
• Sharp inequalities for ratios of partition functions of Schrödinger operators
• ON RATIO INEQUALITIES FOR HEAT CONTENT

Cited In (11)

• Exit time, Green function and semilinear elliptic equations
• Title not available (Why is that?)
• Title not available (Why is that?)
• Some explicit distributions related to the first exit time from a bounded interval for certain functionals of Brownian motion
• Title not available (Why is that?)
• A Sharp Inequality for Conditional Distribution of the First Exit Time of Brownian Motion
• Exit times from equilateral triangles
• The first exit time of a Brownian motion from an unbounded convex domain
• A short note on the mean exit time of the Brownian motion
• The first exit time of Brownian motion form a parabolic domain
• On the expectation of normalized Brownian functionals up to first hitting times

This page was built for publication: On the conditional expectation of the first exit time of Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1024952)