First passage time densities through Hölder curves

zbMATH Open1405.60126arXiv1607.04859MaRDI QIDQ4580334FDOQ4580334

Jimyeong Lee

Publication date: 15 August 2018

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.

Full work available at URL: https://arxiv.org/abs/1607.04859

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zbMATH Keywords

Brownian motionheat equationfirst passage time densities

Mathematics Subject Classification ID

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

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Cited In (3)

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

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