The First Passage Time Density of Brownian Motion and the Heat Equation with Dirichlet Boundary Condition in Time Dependent Domains

DOI10.1137/S0040585X97T990307zbMATH Open1462.35473arXiv1811.05069OpenAlexW3133677518MaRDI QIDQ3389453FDOQ3389453

Authors:

Publication date: 10 May 2021

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Abstract: In [4], it is proved that we can have a continuous first-passage-time density function of one dimensional standard Brownian motion when the boundary is H"older continuous with exponent greater than 1/2. For the purpose of extending [4] into multidimensional domains, we show that there exists a continuous first-passage-time density function of standard $d$-dimensional Brownian motion in moving boundaries in $mathbb{R}^d$, $dgeq2$, under a $C^3$-diffeomorphism. Similarly as in [4], by using a property of local time of standard $d$-dimensional Brownian motion and the heat equation with Dirichlet boundary condition, we find a sufficient condition for the existence of the continuous density function.

Full work available at URL: https://arxiv.org/abs/1811.05069

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zbMATH Keywords

continuous first-passage-time density function

Mathematics Subject Classification ID

Brownian motion (60J65) Heat equation (35K05) Initial-boundary value problems for second-order parabolic equations (35K20) Moving boundary problems for PDEs (35R37)

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Cited In (6)

• The first-passage density of the Brownian motion process to a curved boundary
• On singularity as a function of time of a conditional distribution of an exit time
• Title not available (Why is that?)
• On integral equations arising in the first-passage problem for Brownian motion
• First passage time densities through Hölder curves
• On the heat equation with a moving boundary and applications to hitting times for Brownian motion

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