Fluctuations of Brownian motion with drift
Consider 3 dimensional Brownian motion started on the unit sphere $\{|x|=1\}$ with initial density $\rho$. Let $\rho_t$ be the first hitting density on the sphere $\{|x|=t+1\}$, $t > 0$. Then the linear operators $T_t$ defined by $T_t$ $\rho=\rho_t$ form a semigroup with an infinitesimal generato...
Gespeichert in:
Veröffentlicht in: | Publicacions matemàtiques 1999, Vol.43 (1), p.85-125 |
---|---|
Hauptverfasser: | , |
Format: | Artikel |
Sprache: | eng |
Schlagworte: | |
Online-Zugang: | Volltext |
Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
Zusammenfassung: | Consider 3 dimensional Brownian motion started on the unit sphere $\{|x|=1\}$ with initial density $\rho$. Let $\rho_t$ be the first hitting density on the sphere $\{|x|=t+1\}$, $t > 0$. Then the linear operators $T_t$ defined by $T_t$ $\rho=\rho_t$ form a semigroup with an infinitesimal generator which is approximately the square root of the Laplacian. This paper studies the analogous situation for Brownian motion with a drift $\bold b$, where $\bold b$ is small in a suitable scale invariant norm. |
---|---|
ISSN: | 0214-1493 2014-4350 |
DOI: | 10.5565/PUBLMAT_43199_04 |