Hitting half-spaces by Bessel-Brownian diffusions

DOI10.1007/S11118-009-9159-ZzbMATH Open1235.60106arXiv0904.1803OpenAlexW1986087713MaRDI QIDQ973084FDOQ973084

Authors: Tomasz Byczkowski, Jacek Małecki, Michał Ryznar 

Publication date: 28 May 2010

Published in: Potential Analysis (Search for Journal in Brave)

Abstract: The purpose of the paper is to find explicit formulas describing the joint distributions of the first hitting time and place for half-spaces of codimension one for a diffusion in $R^{n+1}$, composed of one-dimensional Bessel process and independent n-dimensional Brownian motion. The most important argument is carried out for the two-dimensional situation. We show that this amounts to computation of distributions of various integral functionals with respect to a two-dimensional process with independent Bessel components. As a result, we provide a formula for the Poisson kernel of a half-space or of a strip for the operator $(I-Delta{)}^{alpha/2}$, $0<alpha<2$. In the case of a half-space, this result was recently found, by different methods, in [6]. As an application of our method we also compute various formulas for first hitting places for the isotropic stable L'evy process.

Full work available at URL: https://arxiv.org/abs/0904.1803

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zbMATH Keywords

Bessel processesGreen functionPoisson kernelstable processhalf-spacesBessel kernelsRiesz kernelsrelativistic process

Mathematics Subject Classification ID

Diffusion processes (60J60) Probabilistic potential theory (60J45)

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Cited In (8)

• Extension technique for complete Bernstein functions of the Laplace operator
• Hydrodynamic limit for a \(d\)-dimensional open symmetric exclusion process
• Hitting half-spaces or spheres by Ornstein-Uhlenbeck type diffusions
• On hyperbolic Bessel processes and beyond
• Hitting times of Bessel processes
• Boundary behavior of \(\alpha \)-harmonic functions on the complement of the sphere and hyperplane
• Hitting a boundary point by diffusions in the closed half space
• Bessel potentials, hitting distributions and Green functions

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