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

DOI10.1007/S10959-010-0305-8zbMATH Open1255.60147arXiv1007.4633OpenAlexW1985167544MaRDI QIDQ430971FDOQ430971

Authors: Kohei Uchiyama 

Publication date: 26 June 2012

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

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.

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

Recommendations

• Density of space-time distribution of Brownian first hitting of a disc and a ball
• First hitting place distributions for two-dimensional Wiener processes
• An asymptotic estimate for the hitting time of a half-line by two-dimensional Brownian motion
• Asymptotic approximations for Brownian motion boundary hitting times
• Hitting spheres with Brownian motion revisited

zbMATH Keywords

asymptotic expansionFourier analysisLaplace inversionBrownian hitting time

Mathematics Subject Classification ID

Brownian motion (60J65)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Some Theorems Concerning 2-Dimensional Brownian Motion
• Title not available (Why is that?)
• The mean number of sites visited by a pinned random walk
• On Laplace Transforms Near the Origin

Cited In (12)

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

This page was built for publication: Asymptotic estimates of the distribution of Brownian hitting time of a disc

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q430971)