Density of space-time distribution of Brownian first hitting of a disc and a ball

DOI10.1007/S11118-015-9516-ZzbMATH Open1361.60073arXiv1404.4745OpenAlexW3105992644MaRDI QIDQ283379FDOQ283379

Authors: Kohei Uchiyama 

Publication date: 13 May 2016

Published in: Potential Analysis (Search for Journal in Brave)

Abstract: We compute the joint distribution of the site and the time at which a $d$-dimensional standard Brownian motion $B_t$ hits the surface of the ball $$ for the first time. The asymptotic form of its density is obtained when either the hitting time or the starting site $B_0$ becomes large. Our results entail that if Brownian motion is started at $$ and conditioned to hit $U(a)$ at time $t$ for the first time, the distribution of the hitting site approaches the uniform distribution or the point mass at $$ according as $$ tends to zero or infinity; in each case we provide a precise asymptotic estimate of the density. In the case when $$ tends to a positive constant we show the convergence of the density and derive an analytic expression of the limit density.

Full work available at URL: https://arxiv.org/abs/1404.4745

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zbMATH Keywords

Brownian motionhitting timestochastic differential equationsBessel processcaloric measureexit problemspace-time process

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Probabilistic potential theory (60J45)

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Cited In (12)

• The joint distributions of first hitting and last exit for Brownian motion
• The transition density of Brownian motion killed on a bounded set
• Feeling boundary by Brownian motion in a ball
• One dimensional random walks killed on a finite set
• Asymptotic behaviour of the Bessel heat kernels
• Brownian hitting to spheres
• The potential function and ladder heights of a recurrent random walk on \(\mathbb{Z}\) with infinite variance
• Title not available (Why is that?)
• Distribution of the Brownian motion on its way to hitting zero
• Laplace Dirichlet heat kernels in convex domains
• Random variate generation for the first hit of a ball for the symmetric stable process in \(\mathbb{R}^d\)
• Title not available (Why is that?)

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