Iterated Brownian motion in bounded domains in R^n

DOI10.1016/J.SPA.2005.10.007MaRDI QIDQ850028zbMATH OpenOpenAlexFDO

Authors Erkan Nane

Publication date 15 November 2006

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0505026

zbMATH Keywords

bounded domainBrownian-time Brownian motionexit time

Mathematics Subject Classification ID

Brownian motion (60J65) Special processes (60K99)

Abstract: Let $a{u}_D(Z)$ is the first exit time of iterated Brownian motion from a domain $DsubsetRR{R}^n$ started at $zinD$ and let $P_z[a{u}_D(Z)>t]$ be its distribution. In this paper we establish the exact asymptotics of $P_z[a{u}_D(Z)>t]$ over bounded domains as an extension of the result in DeBlassie cite{deblassie}, for $zinD$ ${\displaystyle }$ P_{z}[ au_{D}(Z)>t]approx t^{1/2} exp(-{3/2}pi^{2/3}lambda_{D}^{2/3}t^{1/3}), as t oinfty . ${\displaystyle }$ We also study asymptotics of the life time of Brownian-time Brownian motion (BTBM), $Z_t^1=z+X(Y(t))$, where $X_t$ and $Y_t$ are independent one-dimensional Brownian motions.

Recommendations

• Lifetime asymptotics of iterated Brownian motion in $\mathbb{R}^{n}$
• Iterated Brownian motion in parabola-shaped domains
• Isoperimetric-type inequalities for iterated Brownian motion in \(\mathbb R^n\)
• Publication:4489364
• The first exit time of a Brownian motion from an unbounded convex domain

Cites work

• Brownian motion in a Brownian crack
• Brownian motion in cones
• Brownian motion in twisted domains
• Brownian-time processes: The PDE connection and the half-derivative generator
• Brownian-time processes: The PDE connection II and the corresponding Feynman-Kac formula
• Chung's law of the iterated logarithm for iterated Brownian motion
• Exit times from cones in \({\mathbb{R}}^ n\) of Brownian motion
• Exit times of Brownian motion, harmonic majorization, and Hardy spaces
• scientific article; zbMATH DE number 3642454 (Why is no real title available?)
• scientific article; zbMATH DE number 3134390 (Why is no real title available?)
• scientific article; zbMATH DE number 3877889 (Why is no real title available?)
• scientific article; zbMATH DE number 503430 (Why is no real title available?)
• scientific article; zbMATH DE number 645777 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Iterated Brownian motion in an open set.
• Iterated Brownian motion in parabola-shaped domains
• Local times and related properties of multidimensional iterated Brownian motion
• Stochastic calculus for Brownian motion on a Brownian fracture
• The first exit time of Brownian motion form a parabolic domain
• The first exit time of planar Brownian motion from the interior of a parabola
• The local time of iterated Brownian motion
• Uniform oscillations of the local time of iterated Brownian motion

Cited in

(12)

• Large deviations for subordinated Brownian motion and applications
• Isoperimetric-type inequalities for iterated Brownian motion in \(\mathbb R^n\)
• Iterated Brownian motion in parabola-shaped domains
• The exit distribution for iterated Brownian motion in cones
• Stochastic velocity motions and processes with random time
• Brownian subordinators and fractional Cauchy problems
• scientific article; zbMATH DE number 1960651 (Why is no real title available?)
• scientific article; zbMATH DE number 1474800 (Why is no real title available?)
• Stochastic solutions of a class of higher order Cauchy problems in \(\mathbb R^{d}\)
• Lifetime asymptotics of iterated Brownian motion in $\mathbb{R}^{n}$
• Laws of the iterated logarithm for a class of iterated processes
• Large deviations for local time fractional Brownian motion and applications

This page was built for publication: Iterated Brownian motion in bounded domains in \(\mathbb {R}^n\)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q850028)