Probability of Brownian motion hitting an obstacle

被引:1
|
作者
Knessl, C [1 ]
Keller, JB
机构
[1] Univ Illinois, Dept Math Stat & Comp Sci, Chicago, IL 60607 USA
[2] Stanford Univ, Dept Math & Mech Engn, Stanford, CA 94305 USA
关键词
Brownian motion; diffusion processes;
D O I
10.1137/S003613998346270
中图分类号
O29 [应用数学];
学科分类号
070104 ;
摘要
The probability p(x) that Brownian motion with drift, starting at x, hits an obstacle is analyzed. The obstacle Omega is a compact subset of R-n. It is shown that p(x) is expressible in terms of the field U(x) scattered by Omega when it is hit by a plane wave. Therefore results for U(x), and methods for finding U(x), can be used to determine p(x). We illustrate this by obtaining exact and asymptotic results for p(x) when Omega is a slit in R-2, and asymptotic results when Omega is a disc in R-3.
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页码:729 / 745
页数:17
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