Iterated Brownian motion in an open set

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dc.creatorDeBlassie, R. Dante
dc.date2004-07-08
dc.date.accessioned2026-07-07T05:10:05Z
dc.date.available2026-07-07T05:10:05Z
dc.descriptionSuppose 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 τis the first exit time of iterated Brownian motion from the solid, then P(τ>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(τ>t) for both bounded and unbounded sets. We also discuss a strange connection between iterated Brownian motion and the parabolic operator {1/8}Δ^2-\frac{\partial}{\partial t}.
dc.identifierhttps://arxiv.org/abs/math/0407137
dc.identifierhttp://arxiv.org/abs/math/0407137
dc.identifierAnnals of Probability 2004, Vol. 14, No. 3, 1529-1558
dc.identifierdoi:10.1214/105051604000000404
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/71820
dc.subjectProbability
dc.subject60J65, 60K99 (Primary)
dc.titleIterated Brownian motion in an open set
dc.typetext

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