Lifetime asymptotics of iterated Brownian motion in R^{n}
Probability
2007-06-13 v1
Abstract
Let be the first exit time of iterated Brownian motion from a domain started at and let be its distribution. In this paper we establish the exact asymptotics of over bounded domains as an improvement of the results in \cite{deblassie, nane2}, for \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 . Here is the first eigenvalue of the Dirichlet Laplacian in , and is the eigenfunction corresponding to . We also study lifetime asymptotics of Brownian-time Brownian motion (BTBM), , where and 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}
}