Hitting probabilities of a Brownian flow with radial drift

DOI10.1214/19-AOP1368zbMATH Open1462.60077arXiv1802.06010MaRDI QIDQ2179593FDOQ2179593

Authors: Jong Jun Lee, Eyal Neuman, Carl Mueller 

Publication date: 13 May 2020

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

Abstract: We consider a stochastic flow $ph{i}_t(x,omega)$ in $mathbb{R}^n$ with initial point $ph{i}_0(x,omega)=x$, driven by a single $n$-dimensional Brownian motion, and with an outward radial drift of magnitude $fracF(|ph{i}_t(x)|)|ph{i}_t(x)|$, with $F$ nonnegative, bounded and Lipschitz. We consider initial points $x$ lying in a set of positive distance from the origin. We show that there exist constants $C^{\ast },c^{\ast }>0$ not depending on $n$, such that if $F>C^{\ast }n$ then the image of the initial set under the flow has probability 0 of hitting the origin. If $0leqFleq{c}^{*}{n}^{3/4}$, and if the initial set has nonempty interior, then the image of the set has positive probability of hitting the origin.

Full work available at URL: https://arxiv.org/abs/1802.06010

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zbMATH Keywords

stochastic differential equationsBessel processstochastic flowhitting

Mathematics Subject Classification ID

Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic potential theory (60J45)

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Cited In (7)

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• Hitting times to spheres of Brownian motions with drifts starting from the origin
• Extremal behavior of hitting a cone by correlated Brownian motion with drift
• Asymptotics of the hitting probability for a small sphere and a two dimensional Brownian motion with discontinuous anisotropic drift
• Hitting probabilities and hitting times for stochastic fluid flows
• Hitting probabilities of killed brownian motion : a study on geometric regularity
• Probability of Brownian Motion Hitting an Obstacle

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