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Hitting half-spaces or spheres by Ornstein-Uhlenbeck type diffusions

Tomasz Byczkowski, Jakub Chorowski, Piotr Graczyk, Jacek Małecki (2012)

Colloquium Mathematicae

The purpose of the paper is to provide a general method for computing the hitting distributions of some regular subsets D for Ornstein-Uhlenbeck type operators of the form 1/2Δ + F·∇, with F bounded and orthogonal to the boundary of D. As an important application we obtain integral representations of the Poisson kernel for a half-space and balls for hyperbolic Brownian motion and for the classical Ornstein-Uhlenbeck process. The method developed in this paper is based on stochastic calculus and...

Hitting time of a corner for a reflected diffusion in the square

F. Delarue (2008)

Annales de l'I.H.P. Probabilités et statistiques

We discuss the long time behavior of a two-dimensional reflected diffusion in the unit square and investigate more specifically the hitting time of a neighborhood of the origin. We distinguish three different regimes depending on the sign of the correlation coefficient of the diffusion matrix at the point 0. For a positive correlation coefficient, the expectation of the hitting time is uniformly bounded as the neighborhood shrinks. For a negative one, the expectation explodes in a polynomial way...

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