Approximate exit probabilities for a Brownian bridge on a short time interval, and applications
Keyword(s):
Let T be the first exit time of Brownian motion W(t) from a region ℛ in d-dimensional Euclidean space having a smooth boundary. Given points ξ0 and ξ1 in ℛ, ordinary and large-deviation approximations are given for Pr{T < ε |W(0) = ξ0, W(ε) = ξ 1} as ε → 0. Applications are given to hearing the shape of a drum and approximating the second virial coefficient.
1989 ◽
Vol 21
(01)
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pp. 1-19
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1963 ◽
Vol 17
(1)
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pp. 45-46
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1998 ◽
Vol 1644
(1)
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pp. 142-149
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2018 ◽
Vol 21
(10)
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pp. 979-984
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1987 ◽
Vol 63
(2)
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pp. 778-784
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2019 ◽
Vol 2019
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pp. 1-4
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