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On Some Connections between Potential Theory and Excursions of Reflecting Brownian Motion
Author(s) -
Lang Reinhard
Publication year - 1998
Publication title -
mathematische nachrichten
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.913
H-Index - 50
eISSN - 1522-2616
pISSN - 0025-584X
DOI - 10.1002/mana.19981930108
Subject(s) - excursion , brownian motion , mathematics , brownian excursion , bounded function , reflected brownian motion , geometric brownian motion , potential theory , domain (mathematical analysis) , motion (physics) , boundary (topology) , mathematical analysis , diffusion process , classical mechanics , physics , statistics , computer science , knowledge management , innovation diffusion , political science , law
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.