Hitting probabilities of a Brownian flow with radial drift

DOI10.1214/19-AOP1368MaRDI QIDQ2179593zbMATH OpenFDO

Authors Jong Jun Lee, Eyal Neuman, Carl Mueller

Publication date 13 May 2020

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

Full work available at URL https://arxiv.org/abs/1802.06010, https://projecteuclid.org/euclid.aop/1587542675

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)

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 $0leqFleq{c}^{\ast }{n}^{3/4}$, and if the initial set has nonempty interior, then the image of the set has positive probability of hitting the origin.

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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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