The exit distribution for iterated Brownian motion in cones

Details The exit distribution for iterated Brownian motion in cones The exit distribution for iterated Brownian motion in cones

2004-07-15

arxiv.org/abs/math/0407261v1

Mathematics

Probability

Scientific paper

We study the distribution of the exit place of iterated Brownian motion in a cone, obtaining information about the chance of the exit place having large magnitude. Along the way, we determine the joint distribution of the exit time and exit place of Brownian motion in a cone. This yields information on large values of the exit place (harmonic measure) for Brownian motion. The harmonic measure for cones has been studied by many authors for many years. Our results are sharper than any previously obtained

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