Hitting Probabilities for a Class of Gaussian Integrators via Second Quantization
In our paper, we consider Gaussian processes in the form of η(t)=∫01A(1[0,t])(s)dw(s),t∈[0,1], where {w(t);t∈[0,1]} is a standard Wiener process in Rd and A is a continuous linear operator on L2([0,1]) into itself. For the domain of D⊂Rd with a C1 smooth boundary, the following probability is considered for x∈DP{∃τ∈[0,1]:x+η(τ)∈∂D}. It is well known that, for the Wiener process, such hitting probabilities satisfy the parabolic boundary-value problem for heat equations. Note that, in general, the process (η) may be non-Markovian and may fail to be a semimartingale. Despite this, η can be considered an application of a second quantization operator to w. Our main contribution is the derivation of a representation for hitting probabilities as a series of Wiener–Itô multiple integrals with the kernel obtained from the Green function on the domain D and tensor powers of operator A.
Authors
- A. A. Dorogovtsev (ORCID: https://orcid.org/0000-0003-0385-7897)
- Qingsong Wang (ORCID: https://orcid.org/0009-0004-4802-0702)
Institutions
- Institute of Mathematics (UA)
- Jilin University (CN)
- Institute of Physics (UA)
Publication Details
- Journal
- Mathematics
- Published
- 2026-07-16
- DOI
- https://doi.org/10.3390/math14142580
- Primary Topic
- Stochastic processes and financial applications
- Type
- article
- Field-Weighted Citation Impact
- 0.00
Funders
- National Natural Science Foundation of China