Probability of Brownian motion hitting an obstacle

Citation
C. Knessl et Jb. Keller, Probability of Brownian motion hitting an obstacle, SIAM J A MA, 60(2), 2000, pp. 729-745
Citations number
9
Categorie Soggetti
Mathematics
Journal title
SIAM JOURNAL ON APPLIED MATHEMATICS
ISSN journal
00361399 → ACNP
Volume
60
Issue
2
Year of publication
2000
Pages
729 - 745
Database
ISI
SICI code
0036-1399(20000202)60:2<729:POBMHA>2.0.ZU;2-L
Abstract
The probability p(x) that Brownian motion with drift, starting at x, hits a n obstacle is analyzed. The obstacle Omega is a compact subset of R-n. It i s shown that p(x) is expressible in terms of the field U(x) scattered by Om ega 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 obt aining exact and asymptotic results for p(x) when Omega is a slit in R-2, a nd asymptotic results when Omega is a disc in R-3.