A formula for the expected volume of the Wiener sausage with constant drift

DOI10.1515/FORUM-2016-0039MaRDI QIDQ516951zbMATH OpenOpenAlexFDO

Authors Yuji Hamana, Hiroyuki Matsumoto

Publication date 15 March 2017

Published in Forum Mathematicum (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1512.03514

zbMATH Keywords

driftBrownian motionWiener sausagemodified Bessel function

Mathematics Subject Classification ID

Brownian motion (60J65) Laplace transform (44A10)

Abstract: We consider the Wiener sausage for a Brownian motion with a constant drift up to time $t$ associated with a closed ball. In the two or more dimensional cases, we obtain the explicit form of the expected volume of the Wiener sausage. The result says that it can be represented by the sum of the mean volumes of the multi-dimensional Wiener sausages without a drift. In addition, we show that the leading term of the expected volume of the Wiener sausage is written as $kappat(1+o[1])$ for large $t$ and an explicit form gives the constant $kappa$. The expression is of a complicated form, but it converges to the known constant as the drift tends to $0$.

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Cited in

(10)

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• Asymptotics for the Wiener sausage with drift
• On the expected surface area of the Wiener sausage
• Asymptotic expansion of the expected volume of the Wiener sausage in even dimensions
• Large time volume of the pinned Wiener sausage
• Hitting times to spheres of Brownian motions with and without drifts
• The expected volume and surface area of the Wiener sausage in odd dimensions
• Brownian snails with removal: epidemics in diffusing populations
• On the expected volume of intersection of independent Wiener sausages and the asymptotic behaviour of some related integrals

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