The exit distribution for iterated Brownian motion in cones

Rodrigo Bañuelos and Dante DeBlassie

Stochastic Processes and their Applications, 2006, vol. 116, issue 1, 36-69

Abstract: 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.

Keywords: Iterated; Brownian; motion; Harmonic; measure; Exact; constants (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (2)

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