An asymptotic formula for the Kolmogorov diffusion and a refinement of Sinai's estimates for the integral of Brownian motion

DOI10.3792/PJAA.70.271zbMATH Open0820.60066OpenAlexW2069626006MaRDI QIDQ1805023FDOQ1805023

Authors: Yasuki Isozaki, Shinzo Watanabe 

Publication date: 11 September 1995

Published in: Proceedings of the Japan Academy. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3792/pjaa.70.271

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zbMATH Keywords

Brownian motiontwo-dimensional diffusion processintegral of Brownian motion

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Brownian motion (60J65)

Cites Work

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• Zufällige Bewegungen. (Zur Theorie der Brownschen Bewegung.)
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• Distribution of some functionals of the integral of a random walk
• Statistics of shocks in solutions of inviscid Burgers equation
• The inviscid Burgers equation with initial data of Brownian type
• A winding problem for a resonator driven by a white noise
• On the first hitting place of the integrated Wiener process
• On the First Passage of the Integrated Wiener Process
• Sur le premier instant de passage de l'intégrale du mouvement brownien. (The first passage time for the integrated Brownian motion)
• Title not available (Why is that?)
• First-Passage Densities of a Two-Dimensional Process

Cited In (15)

• Random walk with barycentric self-interaction
• Integrated Brownian motion, conditioned to be positive
• Universality of the asymptotics of the one-sided exit problem for integrated processes
• Asymptotics of the persistence exponent of integrated fractional Brownian motion and fractionally integrated Brownian motion
• Positivity of integrated random walks
• Title not available (Why is that?)
• The Vlasov-Poisson-Fokker-Planck equation in an interval with kinetic absorbing boundary conditions
• Hitting of a line or a half-line in the plane by two-dimensional symmetric stable Lévy processes
• Persistence probabilities and exponents
• Persistence probabilities of mixed FBM and other mixed processes
• Local asymptotics for the area of random walk excursions
• Hitting law asymptotics for a fluctuating Brownian functional
• Clustering in a stochastic model of one-dimensional gas
• On the probability that integrated random walks stay positive
• Survival exponents for some Gaussian processes

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