Iterated Brownian motion in an open set
DeBlassie, R. Dante
Ann. Appl. Probab., Tome 14 (2004) no. 1, p. 1529-1558 / Harvested from Project Euclid
Suppose a solid has a crack filled with a gas. If the crack reaches the surrounding medium, how long does it take the gas to diffuse out of the crack? Iterated Brownian motion serves as a model for diffusion in a crack. If τ is the first exit time of iterated Brownian motion from the solid, then P(τ>t) can be viewed as a measurement of the amount of contaminant left in the crack at time t. We determine the large time asymptotics of P(τ>t) for both bounded and unbounded sets. We also discuss a strange connection between iterated Brownian motion and the parabolic operator $\frac{1}{8}\Delta^{2}-\frac{\partial}{\partial t}$ .
Publié le : 2004-08-14
Classification:  Iterated Brownian motion,  exit time,  60J65,  60K99
@article{1089736295,
     author = {DeBlassie, R. Dante},
     title = {Iterated Brownian motion in an open set},
     journal = {Ann. Appl. Probab.},
     volume = {14},
     number = {1},
     year = {2004},
     pages = { 1529-1558},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1089736295}
}
DeBlassie, R. Dante. Iterated Brownian motion in an open set. Ann. Appl. Probab., Tome 14 (2004) no. 1, pp.  1529-1558. http://gdmltest.u-ga.fr/item/1089736295/