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The exit distribution for iterated Brownian motion in cones

Author

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  • Bañuelos, Rodrigo
  • DeBlassie, Dante

Abstract

We study the distribution of the exit place of iterated Brownian motion in a cone, obtaining information about the chance of the exit place having large magnitude. Along the way, we determine the joint distribution of the exit time and exit place of Brownian motion in a cone. This yields information on large values of the exit place (harmonic measure) for Brownian motion. The harmonic measure for cones has been studied by many authors for many years. Our results are sharper than any previously obtained.

Suggested Citation

  • Bañuelos, Rodrigo & DeBlassie, Dante, 2006. "The exit distribution for iterated Brownian motion in cones," Stochastic Processes and their Applications, Elsevier, vol. 116(1), pages 36-69, January.
    • Handle: RePEc:eee:spapps:v:116:y:2006:i:1:p:36-69
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    Cited by:

    1. Jan Schneider & Roman Urban, 2019. "Lévy Subordinators in Cones of Fuzzy Sets," Journal of Theoretical Probability, Springer, vol. 32(4), pages 1909-1924, December.
    2. Gajda, Janusz & Magdziarz, Marcin, 2014. "Large deviations for subordinated Brownian motion and applications," Statistics & Probability Letters, Elsevier, vol. 88(C), pages 149-156.

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