Estimates for the expected lifetime of conditioned Brownian motion

M van den Berg, A Dall'Acqua, GH Sweers

Research output: Contribution to journalArticle (Academic Journal)peer-review

5 Citations (Scopus)

Abstract

Let $\tau_\varOmega$ denote the lifetime of Brownian motion in an open connected set $\varOmega\subset\mathbb{R}^m$. We obtain the asymptotic behaviour of the expected lifetime $\mathbb{E}_x^y[\tau_\varOmega]$ as $y\to x$, where the Brownian motion is conditioned to start at $x$ and to exit $\varOmega\setminus\{y\}$ at $\{y\}$.
Translated title of the contribution Estimates for the expected lifetime of conditioned Brownian motion English 1091 - 1099 9 Proceedings of the Royal Society of Edinburgh: Section A Mathematics 137 (5) https://doi.org/10.1017/S0308210506000448 Published - Oct 2007

Bibliographical note

Publisher: Cambridge University Press

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