The exit distribution for iterated Brownian motion in cones

被引：15

作者：

Bañuelos, R

DeBlassie, D

机构：

[1] Purdue Univ, Dept Math, W Lafayette, IN 47906 USA

[2] Texas A&M Univ, Dept Math, College Stn, TX 77843 USA

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2006年 / 116卷 / 01期

基金：

美国国家科学基金会;

关键词：

iterated Brownian motion; harmonic measure; exact constants;

D O I：

10.1016/j.spa.2005.07.003

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We study the distribution of the exit place of iterated Brownian motion in a cone, obtaining information about the chance of the exit place having large magnitude. Along the way, we determine the joint distribution of the exit time and exit place of Brownian motion in a cone. This yields information on large values of the exit place (harmonic measure) for Brownian motion. The harmonic measure for cones has been studied by many authors for many years. Our results are sharper than any previously obtained. (c) 2005 Elsevier B.V. All rights reserved.

引用

页码：36 / 69

页数：34

共 28 条

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