Large time asymptotics for Brownian hitting densities of transient concave curves

DOI10.1023/A:1022662616608MaRDI QIDQ1374851zbMATH OpenFDO

Authors Loren D. Pitt, J. Milne Anderson

Publication date 23 June 1998

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1022662616608

zbMATH Keywords

Brownian motionhitting density

Mathematics Subject Classification ID

Brownian motion (60J65)

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Cited in

(4)

• The first exit time of a Brownian motion from an unbounded convex domain
• The heat equation and reflected Brownian motion in time-dependent domains.
• Boundary crossing problems and functional transformations for Ornstein-Uhlenbeck processes
• Hitting law asymptotics for a fluctuating Brownian functional

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