English

Lifetime asymptotics of iterated Brownian motion in R^{n}

Probability 2007-06-13 v1

Abstract

Let τD(Z)\tau_{D}(Z) be the first exit time of iterated Brownian motion from a domain D\RRRnD \subset \RR{R}^{n} started at zDz\in D and let Pz[τD(Z)>t]P_{z}[\tau_{D}(Z) >t] be its distribution. In this paper we establish the exact asymptotics of Pz[τD(Z)>t]P_{z}[\tau_{D}(Z) >t] over bounded domains as an improvement of the results in \cite{deblassie, nane2}, for zDz\in D \begin{eqnarray} \lim_{t\to\infty} t^{-1/2}\exp({3/2}\pi^{2/3}\lambda_{D}^{2/3}t^{1/3}) P_{z}[\tau_{D}(Z)>t]= C(z),\nonumber \end{eqnarray} where C(z)=(λD27/2)/3π(ψ(z)Dψ(y)dy)2C(z)=(\lambda_{D}2^{7/2})/\sqrt{3 \pi}(\psi(z)\int_{D}\psi(y)dy) ^{2}. Here λD\lambda_{D} is the first eigenvalue of the Dirichlet Laplacian 1/2Δ{1/2}\Delta in DD, and ψ\psi is the eigenfunction corresponding to λD\lambda_{D} . We also study lifetime asymptotics of Brownian-time Brownian motion (BTBM), Zt1=z+X(Y(t))Z^{1}_{t}=z+X(|Y(t)|), where XtX_{t} and YtY_{t} are independent one-dimensional Brownian motions.

Keywords

Cite

@article{arxiv.math/0603637,
  title  = {Lifetime asymptotics of iterated Brownian motion in R^{n}},
  author = {Erkan Nane},
  journal= {arXiv preprint arXiv:math/0603637},
  year   = {2007}
}