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On the exit time from a cone for brownian motion with drift


 
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1. Title Title of document On the exit time from a cone for brownian motion with drift
 
2. Creator Author's name, affiliation, country Rodolphe Garbit; Université d'Angers; France
 
2. Creator Author's name, affiliation, country Kilian Raschel; CNRS & Université de Tours; France
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Brownian motion with drift; Exit time; Cone; Heat kernel
 
3. Subject Subject classification 60F17; 60G50; 60J05; 60J65
 
4. Description Abstract We investigate the tail distribution of the first exit time of Brownian motion with drift from a cone and find its exact asymptotics for a large class of cones. Our results show in particular that its exponential decreasing rate is a function of the distance between the drift and the cone, whereas the polynomial part in the asymptotics depends on the position of the drift with respect to the cone and its polar cone, and reflects the local geometry of the cone at the points that minimize the distance to the drift.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2014-07-20
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/3169
 
10. Identifier Digital Object Identifier 10.1214/EJP.v19-3169
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 19
 
12. Language English=en en
 
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