Conditional Brownian Motion in Rapidly Exhaustible Domains
Falkner, Neil
Ann. Probab., Tome 15 (1987) no. 4, p. 1501-1514 / Harvested from Project Euclid
Let $D$ be a domain in $\mathbb{R}^d$ and let $\Delta_1$ be the set of minimal points of the Martin boundary of $D$. For $x \in D$ and $z \in \Delta_1$, let $(X_t)$ under the law $P^{x; z}$ be Brownian motion in $D$, starting at $x$ and conditioned to converge to $z$. Let $\tau$ be the lifetime of $(X_t)$, so $X_{\tau-} = z P^{x; z}$ a.s. Let $q \in L^p(D)$ for some $p > d/2$. Under the assumption that $D$ is what we call rapidly exhaustible, which is essentially a very weak boundary smoothness condition, we show that if the quantity $E^{x;z}\big\{\exp\big\lbrack\int^\tau_0 q(X_s) ds\big\rbrack\big\}$ is finite for one $x \in D$ and one $z \in \Delta_1$, then this quantity is bounded on $D \times \Delta_1$. This result may be viewed as saying, in a fairly strong sense, that the amount of time $(X_t)$ spends in each part of $D$ does not depend very much on the minimal Martin boundary point $z$ to which $(X_t)$ is conditioned to converge.
Publié le : 1987-10-14
Classification:  $h$-path Brownian motion,  conditional gauge,  60J45,  60J65
@article{1176991989,
     author = {Falkner, Neil},
     title = {Conditional Brownian Motion in Rapidly Exhaustible Domains},
     journal = {Ann. Probab.},
     volume = {15},
     number = {4},
     year = {1987},
     pages = { 1501-1514},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176991989}
}
Falkner, Neil. Conditional Brownian Motion in Rapidly Exhaustible Domains. Ann. Probab., Tome 15 (1987) no. 4, pp.  1501-1514. http://gdmltest.u-ga.fr/item/1176991989/