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

DOI10.1007/S11118-015-9516-ZMaRDI QIDQ283379zbMATH OpenOpenAlexFDO

Authors Kohei Uchiyama

Publication date 13 May 2016

Published in Potential Analysis (Search for Journal in Brave)

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

zbMATH Keywords

Bessel processBrownian motioncaloric measureexit problemhitting timespace-time processstochastic differential equations

Mathematics Subject Classification ID

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

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.

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Cited in

(19)

• Distribution of the Brownian motion on its way to hitting zero
• Large time asymptotics for Brownian hitting densities of transient concave curves
• The transition density of Brownian motion killed on a bounded set
• The joint distributions of first hitting and last exit for Brownian motion
• The potential function and ladder heights of a recurrent random walk on \(\mathbb{Z}\) with infinite variance
• Laplace Dirichlet heat kernels in convex domains
• Hitting spheres with Brownian motion revisited
• Asymptotic behaviour of the Bessel heat kernels
• One dimensional random walks killed on a finite set
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• Feeling boundary by Brownian motion in a ball
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• Brownian hitting to spheres

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