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The distribution of Brownian motion in Rn at a natural stopping time
Authors:Neil Falkner
Institution:Department of Mathematics, Ohio State University, 231 West 18th Avenue, Columbus, Ohio 43210 USA
Abstract:For a measure μ on Rn let ((Bt, Pμ) be Brownian motion in Rn with initial distribution μ. Let D be an open subset of Rn with exit time ζ ≡ inf {t > 0: Bt ? D}. In the case where D is a Green region with Green function G and μ is a measure in D such that Gμ is not identically infinite on any component of D, we have given necessary and sufficient conditions for a measure ν in D to be of the form ν(dx) = Pμ(BT ? dx, T <ζ), where T is some natural stopping time for (Bt), and we have applied this characterization to show that a measure ν in D satisfies Gν ? Gμ iff ν is of the form ν(dx) = Pα(BT ? dx, T <ζ) + β(dx), where T is some natural stopping time for (Bt) and α and β are measures in D such that α + β = μ and β lives on a polar set. We have proved analogous results in the case where D = R2 and μ is a finite measure on R2 such that ∫ log+xdu(x) < ∞, and applied this to give a characterization of the stopping times T for Brownian motion in R2 such that (log+BTt∥)0<t<∞ is Pμ-uniformly integrable.
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