TY - JOUR

T1 - The first exit time of Brownian motion from a parabolic domain

AU - Lifshits, Mikhail

AU - Shi, Zhan

PY - 2002/12/1

Y1 - 2002/12/1

N2 - Consider a planar Brownian motion starting at an interior point of the parabolic domain D = {(x, y) : y > x2}, and let τD denote the first time the Brownian motion exits from D. The tail behaviour (or equivalently, the integrability property) of τD is somewhat exotic since it arises from an interference of large-deviation and small-deviation events. Our main result implies that the limit of T -1/3 log ℙ{τD > T}, T → ∞, exists and equals -3π2/8, thus improving previous estimates by Bañuelos et al. and Li. The existence of the limit is proved by applying the classical Schilder large-deviation theorem. The identification of the limit leads to a variational problem, which is solved by exploiting a theorem of Biane and Yor relating different additive functionals of Bessel processes. Our result actually applies to more general parabolic domains in any (finite) dimension.

AB - Consider a planar Brownian motion starting at an interior point of the parabolic domain D = {(x, y) : y > x2}, and let τD denote the first time the Brownian motion exits from D. The tail behaviour (or equivalently, the integrability property) of τD is somewhat exotic since it arises from an interference of large-deviation and small-deviation events. Our main result implies that the limit of T -1/3 log ℙ{τD > T}, T → ∞, exists and equals -3π2/8, thus improving previous estimates by Bañuelos et al. and Li. The existence of the limit is proved by applying the classical Schilder large-deviation theorem. The identification of the limit leads to a variational problem, which is solved by exploiting a theorem of Biane and Yor relating different additive functionals of Bessel processes. Our result actually applies to more general parabolic domains in any (finite) dimension.

KW - Bessel process

KW - Brownian motion

KW - Exit time

UR - http://www.scopus.com/inward/record.url?scp=0012683399&partnerID=8YFLogxK

M3 - Article

AN - SCOPUS:0012683399

VL - 8

SP - 745

EP - 765

JO - Bernoulli

JF - Bernoulli

SN - 1350-7265

IS - 6

ER -