Back to Search Start Over

Hitting probabilities of a Brownian flow with Radial Drift

Authors :
Eyal Neuman
Carl Mueller
Jong Jun Lee
Source :
Ann. Probab. 48, no. 2 (2020), 646-671
Publication Year :
2019
Publisher :
Institute of Mathematical Statistics, 2019.

Abstract

We consider a stochastic flow $\phi_t(x,\omega)$ in $\mathbb{R}^n$ with initial point $\phi_0(x,\omega)=x$, driven by a single $n$-dimensional Brownian motion, and with an outward radial drift of magnitude $\frac{ F(\|\phi_t(x)\|)}{\|\phi_t(x)\|}$, with $F$ nonnegative, bounded and Lipschitz. We consider initial points $x$ lying in a set of positive distance from the origin. We show that there exist constants $C^*,c^*>0$ not depending on $n$, such that if $F>C^*n$ then the image of the initial set under the flow has probability 0 of hitting the origin. If $0\leq F \leq c^*n^{3/4}$, and if the initial set has nonempty interior, then the image of the set has positive probability of hitting the origin.<br />Comment: 34 pages, 3 figures

Details

Database :
OpenAIRE
Journal :
Ann. Probab. 48, no. 2 (2020), 646-671
Accession number :
edsair.doi.dedup.....aca79ab50f9620ca4c77a899ce21392a