First passage time densities through Hölder curves

MaRDI QIDQ4580334zbMATH OpenFDO

Authors Jimyeong Lee

Publication date 15 August 2018

Full work available at URL https://arxiv.org/abs/1607.04859, http://alea.impa.br/articles/v15/15-31.pdf

zbMATH Keywords

Brownian motionheat equationfirst passage time densities

Mathematics Subject Classification ID

Brownian motion (60J65) Heat equation (35K05) Free boundary problems for PDEs (35R35)

Abstract: We prove that for a standard Brownian motion, there exists a first-passage-time density function through a locally H"older continuous curve with exponent greater than 1/2. By using a property of local time of a standard Brownian motion and the theories of partial differential equations in Cannon [2], we find a sufficient condition for existence of the density function. We also show that this density function is proportional to the space derivative of the Green function of the heat equation with Dirichlet boundary condition at the moving boundary.

Recommendations

• The First Passage Time Density of Brownian Motion and the Heat Equation with Dirichlet Boundary Condition in Time Dependent Domains
• Limit at zero of the Brownian first-passage density
• Qualitative behaviour of the first-passage-time density of a one-dimensional diffusion over a moving boundary
• The first-passage density of the Brownian motion process to a curved boundary
• Smoothness of first passage time distributions and a new integral equation for the first passage time density of continuous Markov processes

Cites work

• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 5081350 (Why is no real title available?)
• scientific article; zbMATH DE number 3905045 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• A Transition to Sharp Timing in Stochastic Leaky Integrate-and-Fire Neurons Driven by Frozen Noisy Input
• Boundary crossing identities for Brownian motion and some nonlinear ODE's
• Free boundary problems in PDEs and particle systems
• On an integral equation for first-passage-time probability densities
• On boundary crossing probabilities for diffusion processes

Cited in

(3)

• Non local branching Brownian motions with annihilation and free boundary problems
• The First Passage Time Density of Brownian Motion and the Heat Equation with Dirichlet Boundary Condition in Time Dependent Domains
• A reconciliation of two different expressions for the first-passage density of brownian motion to a curved boundary

This page was built for publication: First passage time densities through Hölder curves

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4580334)