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

DOI10.3792/PJAA.70.271MaRDI QIDQ1805023zbMATHOpenAlexFDO

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

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)

Recommendations

• scientific article; zbMATH DE number 1500601
• Last hitting time for the integral of the Brownian motion
• Asymptotic estimates for the distribution of additive functionals of Brownian motion by the Wiener-Hopf factorization method

Cites work

• scientific article; zbMATH DE number 3863589 (Why is no real title available?)
• scientific article; zbMATH DE number 3507228 (Why is no real title available?)
• scientific article; zbMATH DE number 3448056 (Why is no real title available?)
• A winding problem for a resonator driven by a white noise
• Distribution of some functionals of the integral of a random walk
• First-Passage Densities of a Two-Dimensional Process
• On the First Passage of the Integrated Wiener Process
• On the first hitting place of the integrated Wiener process
• Statistics of shocks in solutions of inviscid Burgers equation
• Sur le premier instant de passage de l'intégrale du mouvement brownien. (The first passage time for the integrated Brownian motion)
• The inviscid Burgers equation with initial data of Brownian type
• Zufällige Bewegungen. (Zur Theorie der Brownschen Bewegung.)

Cited in

(15)

• Random walk with barycentric self-interaction
• Local asymptotics for the area of random walk excursions
• Survival exponents for some Gaussian processes
• Clustering in a stochastic model of one-dimensional gas
• scientific article; zbMATH DE number 3894221 (Why is no real title available?)
• Asymptotics of the persistence exponent of integrated fractional Brownian motion and fractionally integrated Brownian motion
• The Vlasov-Poisson-Fokker-Planck equation in an interval with kinetic absorbing boundary conditions
• Integrated Brownian motion, conditioned to be positive
• Hitting law asymptotics for a fluctuating Brownian functional
• On the probability that integrated random walks stay positive
• Persistence probabilities and exponents
• Hitting of a line or a half-line in the plane by two-dimensional symmetric stable Lévy processes
• Universality of the asymptotics of the one-sided exit problem for integrated processes
• Positivity of integrated random walks
• Persistence probabilities of mixed FBM and other mixed processes

This page was built for publication: An asymptotic formula for the Kolmogorov diffusion and a refinement of Sinai's estimates for the integral of Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1805023)