Level-crossing intensity for the density of the image of Lebesgue measure under the action of a Brownian stochastic flow

DOI10.1007/S11253-017-1405-8MaRDI QIDQ1729646zbMATH OpenOpenAlexFDO

Authors V. V. Fomichev

Publication date 27 February 2019

Published in Ukrainian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1704.00309

Mathematics Subject Classification ID

Random fields (60G60) Extreme value theory; extremal stochastic processes (60G70) Stochastic integral equations (60H20)

Abstract: In this paper we compute the level-crossing intensity for the density of the image of the Lebesgue measure under the action of a Brownian stochastic flow which is a smooth approximation of the Arratia flow and determine its asymptotic behaviour as the height of the level tends to infinity.

Recommendations

• Intensity of crossings of a given level by a homogeneous random field
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• Stochastic integral over the arratia flow

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Cited in

(3)

• Surface measures and integration by parts formula on levels sets induced by functionals of the Brownian motion in \(\mathbb{R}^n\)
• Brownian flow on a finite interval with jump boundary conditions
• Levy downcrossing theorem for the Arratia flow

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