Iterated Brownian motion in an open set

被引:39
作者
DeBlassie, RD [1 ]
机构
[1] Texas A&M Univ, Dept Math, College Stn, TX 77843 USA
关键词
iterated Brownian motion; exit time;
D O I
10.1214/105051604000000404
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
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) - partial derivative/partial derivativet.
引用
收藏
页码:1529 / 1558
页数:30
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