Iterated Brownian motion in an open set

Citation
Deblassie, R. Dante, Iterated Brownian motion in an open set, Annals of applied probability , 14(3), 2004, pp. 1529-1558
ISSN journal
10505164
Volume
14
Issue
3
Year of publication
2004
Pages
1529 - 1558
Database
ACNP
SICI code
Abstract
Suppose a solid has a crack filled with a gas. If the crack reaches the surrounding medium, how long does it take the gas to diffuse out of the crack? Iterated Brownian motion serves as a model for diffusion in a crack. If . is the first exit time of iterated Brownian motion from the solid, then P(.>t) can be viewed as a measurement of the amount of contaminant left in the crack at time t. We determine the large time asymptotics of P(.>t) for both bounded and unbounded sets. We also discuss a strange connection between iterated Brownian motion and the parabolic operator 18.2...t.