Asymptotic estimates of the distribution of Brownian hitting time of a disc

DOI10.1007/S10959-010-0305-8MaRDI QIDQ430971zbMATH OpenOpenAlexFDO

Authors Kohei Uchiyama

Publication date 26 June 2012

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1007.4633

zbMATH Keywords

asymptotic expansionBrownian hitting timeFourier analysisLaplace inversion

Mathematics Subject Classification ID

Brownian motion (60J65)

Abstract: The distribution of the first hitting time of a disc for the standard two dimensional Brownian motion is computed. By investigating the inversion integral of its Laplace transform we give fairy detailed asymptotic estimates of its density valid uniformly with respect to the point where the Brownian motion starts from.

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Cites work

• scientific article; zbMATH DE number 3212213 (Why is no real title available?)
• scientific article; zbMATH DE number 3409954 (Why is no real title available?)
• scientific article; zbMATH DE number 3088518 (Why is no real title available?)
• On Laplace Transforms Near the Origin
• Some Theorems Concerning 2-Dimensional Brownian Motion
• The mean number of sites visited by a pinned random walk

Cited in

(13)

• Large time asymptotics for Brownian hitting densities of transient concave curves
• First hitting place distributions for two-dimensional Wiener processes
• Brownian motion on some spaces with varying dimension
• The transition density of Brownian motion killed on a bounded set
• Hitting times of Bessel processes
• Asymptotic estimate for the probability and the mean time of keeping a moving target within a given domain
• Density of space-time distribution of Brownian first hitting of a disc and a ball
• Hitting Lines with Two-Dimensional Brownian Motion
• The Asymptotic Distribution of the Number of Crossings Between Tangential Circles by Planar Brownian Motion
• Asymptotics of the densities of the first passage time distributions for Bessel diffusions
• Erratum to: asymptotic estimates of the distribution of Brownian hitting time of a disc
• Hitting law asymptotics for a fluctuating Brownian functional
• An asymptotic estimate for the hitting time of a half-line by two-dimensional Brownian motion

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