Iterated Brownian motion in bounded domains in

Erkan Nane

Stochastic Processes and their Applications, 2006, vol. 116, issue 6, 905-916

Abstract: Let [tau]D(Z) be the first exit time of iterated Brownian motion from a domain started at z[set membership, variant]D and let Pz[[tau]D(Z)>t] be its distribution. In this paper we establish the exact asymptotics of Pz[[tau]D(Z)>t] over bounded domains as an extension of the result in [R.D. DeBlassie, Iterated Brownian motion in an open set, Ann. Appl. Probab. 14 (3) (2004) 1529-1558], for z[set membership, variant]D: We also study asymptotics of the life time of Brownian-time Brownian motion (BTBM), , where Xt and Yt are independent one-dimensional Brownian motions.

Keywords: Iterated; Brownian; motion; Brownian-time; Brownian; motion; Exit; time; Bounded; domain (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (3)

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