On Some Connections between Potential Theory and Excursions of Reflecting Brownian Motion

On Some Connections between Potential Theory and Excursions of Reflecting Brownian Motion

We consider reflecting Brownian motion in a bounded domain with smooth boundary. Formulas for the moments of the excursion lengths are derived and connections between excursion theory of reflecting Brownian motion and notions from recurrent potential theory are explored.

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Veröffentlicht in:Mathematische Nachrichten 1998, Vol.193 (1), p.75-91
1. Verfasser: Lang, Reinhard
Format: Artikel
Sprache:eng
Schlagworte:
excursions
probabilistic potential theory
Reflecting Brownian motion
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Beschreibung
Zusammenfassung:We consider reflecting Brownian motion in a bounded domain with smooth boundary. Formulas for the moments of the excursion lengths are derived and connections between excursion theory of reflecting Brownian motion and notions from recurrent potential theory are explored.
ISSN:0025-584X
1522-2616
DOI:10.1002/mana.19981930108