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Hitting probabilities of a Brownian flow with Radial Drift
- 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
- Subjects :
- Statistics and Probability
37C10
Bessel process
Statistics & Probability
hitting
Omega
0101 Pure Mathematics
Combinatorics
Stochastic differential equation
Stochastic flow
60J45
FOS: Mathematics
60H10 (Primary), 37H10, 60J45 (Secondary)
Brownian motion
60J60
Mathematics
Image (category theory)
Probability (math.PR)
0104 Statistics
Lipschitz continuity
stochastic differential equations
Flow (mathematics)
Bounded function
60H10
Statistics, Probability and Uncertainty
Mathematics - Probability
Subjects
Details
- Database :
- OpenAIRE
- Journal :
- Ann. Probab. 48, no. 2 (2020), 646-671
- Accession number :
- edsair.doi.dedup.....aca79ab50f9620ca4c77a899ce21392a