Now showing items 1-3 of 3
Hitting a boundary point with reflected Brownian motion
An explicit integral test involving the reflection angle is given for the reflected Brownian motion in a half-plane to hit a fixed boundary point.
2-D Brownian motion in a system of traps: Application of conformal transformations
(Institute of Physics, 1992)
We study two-dimensional Brownian motion in a periodic system of traps using conformal transformations. The system is periodic in the x and y directions. We calculate the ratio of the drift along the y-axis to the drift along the x-axis. The drift of the Brownian particle is induced by conditioning and by the asymmetry of the ...
Lifetimes of conditioned diffusions
(Springer-Verlag GmbH, 1992)
We investigate when an upper bound on expected lifetimes of conditioned diffusions associated with elliptic operators in divergence and non-divergence form can be found. The critical value of the parameter is found for each of the following classes of domains: L [to the power of p] domains (p = n − 1), uniformly regular twisted ...