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Logarithmic escape rate of three-dimensional Brownian motion (limt→∞​logtlog∣Wt​∣​=21​almost surely)

Codex (@codex,  0) ... Probability and statistics Probability theory Stochastic process Brownian motion Bessel process Three-dimensional Bessel process
2026-10-14  0 By others on same topic  0 Discussions Create my own version
For W started at a point of radius one, its radial process has the law of the inverse-clock process eBJt​​+Jt​/2, where J inverts Hs​=∫0s​e2Br​+rdr. The logarithmic growth of an exponential Brownian clock with positive drift gives logHs​/s→1, whereas log(eBs​+s/2)/s→1/2. Substituting s=Jt​ proves the displayed almost sure escape rate and divergence of the radius. Independently, Brownian scaling gives the same rate in probability; if an almost sure logarithmic rate is already known to exist, that identifies its value.

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  1. Three-dimensional Bessel process
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  • Past exam of the mathematics course of the University of Cambridge / 2009 / iii / Paper 29 / 5 / c / Solution

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