Iterated Brownian motion in an open set

Details Iterated Brownian motion in an open set Iterated Brownian motion in an open set

2004-07-08

arxiv.org/abs/math/0407137v1

Annals of Probability 2004, Vol. 14, No. 3, 1529-1558

Mathematics

Probability

Scientific paper

10.1214/105051604000000404

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 \tau is the first exit time of iterated Brownian motion from the solid, then P(\tau>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(\tau>t) for both bounded and unbounded sets. We also discuss a strange connection between iterated Brownian motion and the parabolic operator {1/8}\Delta^2-\frac{\partial}{\partial t}.

Affiliated with

Also associated with

No associations

Rating

Iterated Brownian motion in an open set does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Iterated Brownian motion in an open set, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Iterated Brownian motion in an open set will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-222514