Asymptotic estimates of the distribution of Brownian hitting time of a disc

Details Asymptotic estimates of the distribution of Brownian hitting time of a disc Asymptotic estimates of the distribution of Brownian hitting time of a disc

2010-07-27

arxiv.org/abs/1007.4633v1

Mathematics

Probability

To appear in J. Theor. Probab

Scientific paper

The distribution of the first hitting time of a disc for the standard two
dimensional Brownian motion is computed. By investigating the inversion
integral of its Laplace transform we give fairy detailed asymptotic estimates
of its density valid uniformly with respect to the point where the Brownian
motion starts from.

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