Mean distance of Brownian motion on a Riemannian manifold

Yoon Tae Kim and Hyun Suk Park

Stochastic Processes and their Applications, 2002, vol. 102, issue 1, 117-138

Abstract: Consider the mean distance of Brownian motion on Riemannian manifolds. We obtain the first three terms of the asymptotic expansion of the mean distance by means of stochastic differential equation for Brownian motion on Riemannian manifold. This method proves to be much simpler for further expansion than the methods developed by Liao and Zheng (Ann. Probab. 23(1) (1995) 173). Our expansion gives the same characterizations as the mean exit time from a small geodesic ball with regard to Euclidean space and the rank 1 symmetric spaces.

Keywords: Brownian; motion; Riemannian; manifold; Normal; coordinates; Ricci; curvature; Scalar; curvature (search for similar items in EconPapers)
Date: 2002
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