The expected area of the Wiener sausage swept by a disc

DOI10.1016/J.SPA.2012.09.005MaRDI QIDQ1761491zbMATH OpenOpenAlexFDO

Authors Kohei Uchiyama

Publication date 15 November 2012

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1210.6752

zbMATH Keywords

asymptotic expansionBrownian BridgeBrownian hitting timeLaplace inversionRamanujan's functionWiener sausage

Mathematics Subject Classification ID

Probabilistic potential theory (60J45) Brownian motion (60J65)

Abstract: The expected areas of the Wiener sausages swept by a disc attached to the two-dimensional Brownian Bridge joining the origin to a point x over a time interval [0,t] are computed. It is proved that the leading term of the expectation is given by Ramanujan's function if (x,t) remains in a parabolic region. The corresponding result for unconditioned process is also obtained.

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Cited in

(5)

• On the expected volume of the Wiener sausage for a Brownian bridge
• Density of space-time distribution of Brownian first hitting of a disc and a ball
• On the expected surface area of the Wiener sausage
• Asymptotics of the densities of the first passage time distributions for Bessel diffusions
• Reward-assisted target-directed stochastic navigation

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