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

DOI10.1007/s11118-015-9516-zzbMath1361.60073arXiv1404.4745MaRDI QIDQ283379

Kôhei 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 process; Brownian motion; stochastic differential equations; hitting time; exit problem; caloric measure; space-time process

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J65: Brownian motion

60J60: Diffusion processes

60J45: Probabilistic potential theory