Fluctuations of Brownian motion with drift

Autores: Peder Olsen, Joseph G. Conlon
Localización: Publicacions matematiques, ISSN 0214-1493, Vol. 43, Nº 1, 1999, págs. 85-125
Idioma: inglés
DOI: 10.5565/publmat_43199_04
Títulos paralelos:
- Fluctuaciones del movimiento browniano con deriva
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Resumen
- Consider 3 dimensional Brownian motion started on the unit sphere $\{|x|=1\}$ with initial density $\rho$. Let $\rho_t$ be the first hitting density on the sphere $\{|x|=t+1\}$, $t>0$. Then the linear operators $T_t$ defined by $T_t$ $\rho=\rho_t$ form a semigroup with an infinitesimal generator which is approximately the square root of the Laplacian. This paper studies the analogous situation for Brownian motion with a drift $\bold b$, where $\bold b$ is small in a suitable scale invariant norm