Connecting Brownian Paths
Davis, Burgess ; Salisbury, Thomas S.
Ann. Probab., Tome 16 (1988) no. 4, p. 1428-1457 / Harvested from Project Euclid
We study two processes obtained as follows: Take two independent $d$-dimensional Brownian motions started at points $x, y$, respectively. For the first process, let $d \geq 3$ and condition on $X_t = Y_t$ for some $t$ (a set of probability 0). Run $X$ out to the point of intersection and then run $Y$ in reversed time from this point back to $y$. For the second process, let $d \geq 5$ and perform the same construction, this time conditioning on $X_s = Y_t$ for some $s, t$. The first process is shown to be Doob's conditioned (to go from $x$ to $y$) Brownian motion $Z$, and the second has distribution absolutely continuous with respect to that of $Z$, the Radon-Nikodym density being a constant times the time $Z$ takes to travel from $x$ to $y$. Similar results (including extensions to the critical dimensions $d = 2$ and $d = 4$) are obtained by conditioning the motions to hit before they leave domains. We use the asymptotics of the probability of "near misses" and results on the weak convergence of $h$-transforms.
Publié le : 1988-10-14
Classification:  Conditioned Brownian motion,  path intersections,  $h$-transforms,  bi-Brownian motion,  Wiener sausage,  60J65
@article{1176991577,
     author = {Davis, Burgess and Salisbury, Thomas S.},
     title = {Connecting Brownian Paths},
     journal = {Ann. Probab.},
     volume = {16},
     number = {4},
     year = {1988},
     pages = { 1428-1457},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176991577}
}
Davis, Burgess; Salisbury, Thomas S. Connecting Brownian Paths. Ann. Probab., Tome 16 (1988) no. 4, pp.  1428-1457. http://gdmltest.u-ga.fr/item/1176991577/