Brownian motion in self-similar domains
Deblassie, Dante ; Smits, Robert
Bernoulli, Tome 12 (2006) no. 2, p. 113-132 / Harvested from Project Euclid
For $T\neq 1$ , the domain G is T-homogeneous if TG=G. If $0\not\in G$ , then necessarily $0\in\partial G$ . It is known that for some p>0, the Martin kernel K at infinity satisfies $K(Tx)=T^pK(x)$ for all $x\in G$ . We show that in dimension $d\geq 2$ , if G is also Lipschitz, then the exit time τG of Brownian motion from G satisfies $P_x(\tau_G>t) \approx K(x)t^{-p/2}$ as $t\to\infty$ . An analogous result holds for conditioned Brownian motion, but this time the decay power is $1-p-d/2$ . In two dimensions, we can relax the Lipschitz condition at 0 at the expense of making the rest of the boundary C2.
Publié le : 2006-02-14
Classification:  Brownian motion,  lifetime,  Martin kernel,  self-similar sets,  T-homogeneous domains
@article{1141136652,
     author = {Deblassie, Dante and Smits, Robert},
     title = {Brownian motion in self-similar domains},
     journal = {Bernoulli},
     volume = {12},
     number = {2},
     year = {2006},
     pages = { 113-132},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1141136652}
}
Deblassie, Dante; Smits, Robert. Brownian motion in self-similar domains. Bernoulli, Tome 12 (2006) no. 2, pp.  113-132. http://gdmltest.u-ga.fr/item/1141136652/