Brownian motion in cones |
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| Authors: | Rodrigo Bañuelos Robert G Smits |
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| Institution: | (1) Department of Mathematics, Purdue University, West Lafayette, IN 47907-1395, USA, US |
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| Abstract: | Summary. We study the asymptotic behavior of Brownian motion and its conditioned process in cones using an infinite series representation
of its transition density. A concise probabilistic interpretation of this series in terms of the skew product decomposition
of Brownian motion is derived and used to show properties of the transition density.
Received: 2 April 1996 / In revised form: 21 December 1996 |
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| Keywords: | Mathematics Subject Classification (1991): 60G40 31 |
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