Random Motion on Simple Graphs

Vassilis G. Papanicolaou (), Effie G. Papageorgiou and Dimitris C. Lepipas
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Vassilis G. Papanicolaou: National Technical University of Athens
Effie G. Papageorgiou: National Technical University of Athens
Dimitris C. Lepipas: National Technical University of Athens

Methodology and Computing in Applied Probability, 2012, vol. 14, issue 2, 285-297

Abstract: Abstract Consider a stochastic process that lives on n-semiaxes joined at the origin. On each ray it behaves as one dimensional Brownian Motion and at the origin it chooses a ray uniformly at random (Kirchhoff condition). The principal results are the computation of the exit probabilities and certain other probabilistic quantities regarding exit and occupation times.

Keywords: Brownian motion; Kirchhoff condition; Exit probabilities; Exit times; Occupation times; Arc-sine law; 60J60; 60J65; 60J70 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (4)

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DOI: 10.1007/s11009-010-9203-x

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