Iterated Brownian motion in an open set.

DOI10.1214/105051604000000404zbMath1051.60082arXivmath/0407137OpenAlexW2127369789MaRDI QIDQ1879919

Richard Dante DeBlassie

Publication date: 15 September 2004

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0407137

zbMATH Keywords

boundary value problemexit timeiterated Brownian motionhigher-order PDE

Mathematics Subject Classification ID

Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Processes in random environments (60K37)

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