Mathematics – Probability
Scientific paper
2004-04-27
Potential Analysis, 24 (2006) , 105-123.
Mathematics
Probability
23 pages
Scientific paper
10.1007/s11118-005-2611-9
Iterated Brownian motion $Z_{t}$ serves as a physical model for diffusions in a crack. If $\tau_{D}(Z) $ is the first exit time of this processes from a domain $D \subset \RR{R}^{n}$, started at $z\in D$, then $P_{z}[\tau_{D}(Z)>t]$ is the distribution of the lifetime of the process in $D$. In this paper we determine the large time asymptotics of $P_{z}[\tau_{P_{\alpha}}(Z) > t]$ which gives exponential integrability of $\tau_{P_{\alpha}}(Z) $ for parabola-shaped domains of the form $ P_{\alpha}=\{(x,Y)\in \RR{R} \times \RR{R}^{n-1}: x>0, |Y|
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