Sojourn time of some reflected Brownian motion in the unit disk

• Autorzy: Deaconu M. , Gradinaru M. , Roche J. R.
• Języki publikacji: EN

Abstrakty

EN

We study the heat diffusion in a domain with an obstacle inside. More precisely, we are interested in the quantity of heat in so far as a function of the position of the heat source at time 0. This quantity is also equal to the expectation of the sojourn time of the Brownian motion, reflected on the boundary of a small disk contained in the unit disk, and killed on the unit circle. We give the explicit expression of this expectation. This allows us to make some numerical estimates and thus to illustrate the behaviour of this expectation as a function of starting point of the Brownian motion.

Słowa kluczowe

EN

reflected Brownian motion; boundary value problems; fractional linear transformation; numerical computations

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2000
• Tom: Vol. 20, Fasc. 1
• Strony: 19--38
• Opis fizyczny: Bibliogr. 13 poz., rys., wykr.

Twórcy

autor

Deaconu M.

• Institut de Mathématiques Elie Carian Université Henri Poincaré B.P. 239, 54506 Vandoeuvre-lès Nancy Cedex, France

autor

Gradinaru M.

• Institut de Mathématiques Elie Carian Université Henri Poincaré B.P. 239, 54506 Vandoeuvre-lès Nancy Cedex, France

autor

Roche J. R.

• Institut de Mathématiques Elie Carian Université Henri Poincaré B.P. 239, 54506 Vandoeuvre-lès Nancy Cedex, France

Bibliografia

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